Research on the GARCH model of the Shanghai Securities Composite Index
Dancheng Luo, Yaqi Xue
Available Online October 2013.
- https://doi.org/10.2991/iaw-sc.2013.35How to use a DOI?
- volatility; Arch model; Garch model
- GARCH model can be used to describe the characteristics of returns fluctuation, which can forecast the returns and risk of financial assets. This paper makes use of GARCH model and its hybrid models, such as GARCH-M model, E-GARCH model, T-GARCH model and I-GARCH model, to the empirical research on the data of Shanghai Securities Composite Index from January 2, 2001 to May 20, 2013. The results show that there are the characteristics of High Kurtosis and Fat Tail, Volatility Clustering and the phenomenon of high risk and high reward.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Dancheng Luo AU - Yaqi Xue PY - 2013/10 DA - 2013/10 TI - Research on the GARCH model of the Shanghai Securities Composite Index BT - International Academic Workshop on Social Science (IAW-SC-13) PB - Atlantis Press SP - 162 EP - 166 SN - 1951-6851 UR - https://doi.org/10.2991/iaw-sc.2013.35 DO - https://doi.org/10.2991/iaw-sc.2013.35 ID - Luo2013/10 ER -