Volatility of Shanghai Stock Market: Using ARCH Type Models

机译：上海股票市场的波动性：使用ARCH类型模型

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This paper is a research on the volatilities of Chinese stock market via the ARCH type models.The results show that the ARCH type models can capture comparatively better the volatility features of the Chinese stock market: heteroscedasticity, volatility clustering, leverage effect and impact persistence.With a better characterization of those volatility features, a solid basis for decision making can be provided to investors and the regulating department.

机译：本文通过ARCH型模型对中国股市的波动性进行了研究，结果表明ARCH型模型可以较好地捕捉中国股市的波动性特征：异方差，波动性聚类，杠杆效应和影响持久性。通过更好地表征这些波动性特征，可以为投资者和监管部门提供坚实的决策基础。

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《2006 International Conference on Management Science and Engineering(2006管理科学与工程国际学术研讨会)论文集》|2006年|686-693|共8页
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Zhang Xiaoyong; Ma Chaoqun;
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Index return; volatility clustering; ARCH type models; Heteroscedasticity;

机译：指数收益率;波动率聚类; ARCH型模型;异方差;

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1. The Volatility of the Index of Shanghai Stock Market Research Based on ARCH and Its Extended Forms [J] . HaoLiu, ZuoquanZhang, QinZhao Discrete dynamics in nature and society . 2009,第4期

机译：基于ARCH及其扩展形式的上海股票市场指数的波动性。
2. A differential harmony search based hybrid interval type2 fuzzy EGARCH model for stock market volatility prediction [J] . Dash Rajashree, Dash P. K., Bisoi Ranjeeta 高分子論文集 . 2015,第apra期

机译：基于微分和声搜索的混合区间2型模糊EGARCH模型用于股市波动预测
3. A Study on the Volatility of the Bangladesh Stock Market——Based on GARCH Type Models [J] . Bhowmik RONI, Chao WU, Roy Kumar JEWEL, 系统科学与信息学报：英文版 . 2017,第003期

机译：孟加拉国股票市场波动性研究-基于GARCH类型模型
4. Using CARR model and GARCH model to forecast volatility of the stock index: Evidence from China's Shanghai stock market [C] . Zou Wen-jun, Guo Ming-yuan International Conference on Management Science Engineering . 2014

机译：使用CARR模型和GARCH模型预测股指的波动性：来自中国上海股市的证据
5. Issues of market efficiency in the Chinese stock markets: I. Day-of-the-week effect, month-of-the-year effect and turn-of-the-month effect in China's stock markets. II. Are the two stock markets (Shanghai and Shenzhen) in China integrated or segmented? III. The effects of re-imposing a 10% price limit on the Chinese stock markets. [D] . Feng, Licheng. 1999

机译：中国股票市场的市场效率问题：I.中国股票市场的周日效应，月度效应和月度效应。二。中国的两个股票市场（上海和深圳）是整合还是细分？三，重新对中国股市施加10％的价格限制的影响。
6. Investment Behavior of Orphan and Nonorphan Investors During COVID-19 in Shanghai Stock Market [O] . Muhammad Ishfaq Ahmad, Weiqing Zhuang, Anika Sattar 2020

机译：在上海股市Covid-19期间孤儿和非运动员投资行为
7. Volatility Research of Shanghai Stock Market Based on GARCH Model Family [O] . Donghui Lv 2017

机译：基于GARCH模型家庭的上海股市波动性研究

Volatility of Shanghai Stock Market: Using ARCH Type Models

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