Proceedings of the 2013 International Academic Workshop on Social Science

Research on the GARCH model of the Shanghai Securities Composite Index

Authors
Dancheng Luo, Yaqi Xue
Corresponding Author
Dancheng Luo
Available Online October 2013.
DOI
https://doi.org/10.2991/iaw-sc.2013.35How to use a DOI?
Keywords
volatility; Arch model; Garch model
Abstract
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.
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Proceedings
International Academic Workshop on Social Science (IAW-SC-13)
Part of series
Advances in Intelligent Systems Research
Publication Date
October 2013
ISBN
978-90-78677-84-0
ISSN
1951-6851
DOI
https://doi.org/10.2991/iaw-sc.2013.35How to use a DOI?
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  -