• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文会议>Proceedings of the Third IASTED International Conference on Financial Engineering and Applications >MODELLING THE VOLATILITY OF CHINA’S STOCK MARKET WITH REGIME SHIFTS
【24h】

MODELLING THE VOLATILITY OF CHINA’S STOCK MARKET WITH REGIME SHIFTS

机译：使用市场波动率模型模拟中国股市的波动性

获取原文
获取原文并翻译 | 示例
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Two critical problems that the standard GARCH model suffers when modelling on the volatility of China’s stock market, non-stationarity and spuriously high persistence, are brought to light. It is justified that the SWARCH model is superior to conventional GARCH model, which can adequately model the volatility evolution process of Shanghai stock market and achieve better forecasting performance. The empirical results also indicate that the volatility models with Student t distribution perform better than their Gaussian counterparts. There exists huge difference in terms of conditional variance among the low,medium and high volatile regimes. Meanwhile, the Shanghai stock market was dominated by the low-volatile regime in the past 16 years. Finally, the well acknowledged asymmetric leverage effect is rejected to be in presence in Shanghai stock market. Econometric findings are explained and discussed in the context of events occurred in the market and by using the theory of behavioural finance.
机译：当对中国股市的波动进行建模时，标准的GARCH模型遇到了两个关键问题，即非平稳性和虚假的高持久性。可以肯定的是，SWARCH模型优于传统的GARCH模型，可以对上海证券市场的波动演化过程进行充分建模，并获得更好的预测性能。实证结果还表明，具有学生t分布的波动率模型的表现优于其高斯对应模型。在低，中和高挥发性制度之间，在条件方差方面存在巨大差异。同时，在过去的16年中，上海股市一直由低波动性制度主导。最后，公认的不对称杠杆效应被拒绝存在于上海股市中。计量经济学的发现是在市场上发生的事件的背景下并使用行为金融理论进行解释和讨论的。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号