Study of ST Stock Market Volatility with Nonlinear Method

DOI

10.2991/asshm-13.2013.116How to use a DOI?

Keywords

ARCH model; ST stocks; volatility; lev-erage effect

Abstract

As a kind of stock treated specially, ST stock has higher risks as well as high rev-enues; so, it is of great significance to study the market volatility of ST stocks in Chinese stock market. The 745 index return rates of ST stocks from April 1st, 2010 to April 26th, 2013are studied with nonlinear method. It is demonstrated: ST index return rate has peak fat-tail charac-teristics and heteroskedasticity;the EGARCH model established on the se-quences of ST index return rate shows that there is obvious leverage effect in Chinese stock market. Meanwhile, it could also be known from the study that GARCH model fits best the return rate sequence, through which short-term pre-diction of ST index is conducted, predict-ing correctly the short-term several-day movements with stable results.

Copyright

© 2013, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yu-dong Wu
PY  - 2013/12
DA  - 2013/12
TI  - Study of ST Stock Market Volatility with Nonlinear Method
BT  - Proceedings of the 2013 International Conference on Advances in Social Science, Humanities, and Management
PB  - Atlantis Press
SP  - 619
EP  - 624
SN  - 1951-6851
UR  - https://doi.org/10.2991/asshm-13.2013.116
DO  - 10.2991/asshm-13.2013.116
ID  - Wu2013/12
ER  -