Research on the Volatility Characteristics of Real Estate Segment Price Index in China's Stock Market with GARCH Models

机译：基于GARCH模型的中国股市房地产板块价格指数波动特征研究

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Real estate market segment is an important section in stock market. It is very helpful in market regulation and investment decision to analyze the laws and characteristics of variation of real estate segment price index. In this paper the principle of GARCH family models is introduced. Then the volatility of real estate segment price index is analyzed with the GARCH, TARCH, EGARCH models. The data consists of Shenzhen and Shanghai stock market close price index from Oct 8, 2003 to May 28, 2009. The GARCH family models are constructed to reveal the dynamic characteristics of the real estate segment price index in stock market. The comparison analysis among volatility characteristics of the real estate segment price index, the Shanghai Composite Index, the Shenzhen composition index are taken..

机译：房地产市场领域是股票市场的重要部分。分析房地产板块价格指数的变化规律和特征，对市场调控和投资决策有很大帮助。本文介绍了GARCH族模型的原理。然后利用GARCH，TARCH，EGARCH模型对房地产板块价格指数的波动性进行了分析。该数据包括2003年10月8日至2009年5月28日的深圳和上海股市收盘价格指数。构建了GARCH族模型，以揭示股市中房地产板块价格指数的动态特征。对房地产板块价格指数，上证综合指数，深证组成指数的波动特征进行了比较分析。

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《International conference on construction real estate management》|2009年|p.1022-1025|共4页
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作者
LI Weidong;
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正文语种
中图分类建筑结构;
关键词
volatility; real estate segment price index; GARCH;

机译：波动性;房地产板块价格指数; GARCH;

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1. Research on Dynamic Relationship between Asset Prices Volatility and Financial Exposure : An Empirical Analysis Based on Data of Real Estate and Stock Market in China With Eviews Software [J] . Hongling Wu, Cunzhang Duan Journal of software . 2012,第10期

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3. On Univariate and Multivariate GARCH Models: Oil Price and Stock market returns volatilities [J] . Amine Guerouah, Halim Zeghdoudi, Fatima Zohra Bouseba International Journal of Applied Mathematics & Statistics . 2018,第1期

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4. Research on the Volatility Characteristics of Real Estate Segment Price Index in China's Stock Market with GARCH Models [C] . LI Weidong International conference on construction real estate management . 2009

机译：中国股票市场股市房地产分部价格指数波动特性研究
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. Study on Market Stability and Price Limit of Chinese Stock Index Futures Market: An Agent-Based Modeling Perspective [O] . Xiong Xiong, Ding Nan, Yang Yang, -1

机译：基于Agent的中国股指期货市场市场稳定性和价格限制研究
7. Stock Market Volatility Using GARCH Models: Evidence from South Africa and China Stock Markets [O] . Priviledge Cheteni 2017

机译：股票市场波动采用GARCH模型：来自南非和中国股市的证据

Research on the Volatility Characteristics of Real Estate Segment Price Index in China's Stock Market with GARCH Models

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