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Based On The Arch Model's Shanghai Composite Index Return Volatility Characteristics

Posted on:2005-06-22Degree:MasterType:Thesis
Country:ChinaCandidate:Y ZhongFull Text:PDF
GTID:2206360125453935Subject:Industrial Economics
Abstract/Summary:PDF Full Text Request
Chinese Stock Market grows fast and has made great progress since it was founded. And the size of Hu & Shen stock market has been enlarged more. However, our country's stock market is very young, and the market risk and volatility is much larger than that of foreign markets. So it is necessary to study the volatility character of stock market when it is on the developing way. In this text, we will regard Shanghai stock compsite price index as the main study object, and try to use the ARCH models to describe the volatility character with the statistic software EViews3.l. And the main results are the following: excess kurtosis and heteroskedasticity of the series datas, asymmetric effect of the series datas volatility and the long-time & short-time effect of the series datas volatility. At the end of the text, we will give some ideas to the policy constitutors on the basis of the former analysis.
Keywords/Search Tags:Stock market, Stock price Index, Volatility, ARCH, Test
PDF Full Text Request
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