The Research on Shanghai-Shenzhen 300 Stock Index's Volatility

机译：上海 - 深圳300股票指数波动的研究

获取原文

页面导航

摘要
著录项
相似文献
相关主题

摘要

Based on the EGARCH model of GED distribution, this paper fit China Shanghai-Shenzhen 300 Stock Index's volatility. The results show that the EGARCH model can fit China's stock index volatility well. The Shanghai-Shenzhen 300 Stock Index closing price fluctuations have a leverage effect, "bad news" generate greater volatility than the same amount of "good news".

机译：基于GED分配的EGARCH模型，本文符合中国上海 - 深圳300股票指数的波动。结果表明，蜂酸模型可以融合中国的股指挥发性。上海 - 深圳300股本指数关闭价格波动有一个杠杆效应，“坏消息”产生比同样的“好消息”产生更大的波动。

著录项

来源
《International institute of statistics and management engineering symposium》|2010年||共4页
会议地点
作者
LI Qunfeng;
展开▼
作者单位

展开▼
会议组织
原文格式 PDF
正文语种
中图分类统计学;
关键词
Shanghai—Shenzhen 300 stock index; volatility; EGARCH model;

机译：上海 - 深圳300股指数;波动;蜂酸模型;

相似文献

外文文献
中文文献
专利

1. Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model [J] . Ausloos Marcel, Zhang Yining, Dhesi Gurjeet Expert systems with applications . 2020,第Deca期

机译：股指期货交易对现货价格波动的影响。 CSI 300使用TGARCH模型研究
2. The economic sources of China's CSI 300 spot and futures volatilities before and after the 2015 stock market crisis [J] . Chen Qiang, Gong Yuting International Review of Economics and Finance . 2019,第Nova期

机译：2015年股市危机前后中国CSI 300现货和期货波动的经济来源
3. Identifying the Effects of Volatility of the Stock Market Price Index Return in Capital Markets of Selected Countries on the Volatility of the Stock Market Price Index Returns in Tehran Stock Exchange [J] . Advances in Environmental Biology . 2014,第19期

机译：确定某些国家的资本市场中的股票价格价格指数收益率波动对德黑兰证券交易所股票市场的价格指数收益率波动的影响
4. The Research on Shanghai-Shenzhen 300 Stock Index's Volatility [C] . LI Qunfeng International institute of statistics and management engineering symposium . 2010

机译：沪深300股指波动性研究
5. Volatile and non-volatile components of beef marrow bone stocks. [D] . Choudhury, Belayet H. 2008

机译：牛肉和牛肉的挥发性和非挥发性成分。
6. Range-based volatility, expected stock returns, and the low volatility anomaly [O] . Benjamin M. Blau, Ryan J. Whitby 2011

机译：基于范围的波动率，预期的股票收益率和低波动率异常
7. The Impact of the Launch of Chin’s CSI 300 Index Futures on the Volatility of CSI 300 Stock Index [O] . Guo Mingyuan, Wang Lianxin, Gao Shuang, 2016

机译：Chin的CSI 300指数期货推出对CSI 300股指数波动的影响

The Research on Shanghai-Shenzhen 300 Stock Index's Volatility

摘要

著录项

相似文献

相关主题

期刊订阅