Analyzing Jump Risk and its Contagious Effect of Stock Asset in Jump-GARCH Model with Threshold and Variable Intensity
Ran Huang, Qiao Ke, Qiming Tang
Available Online August 2013.
- https://doi.org/10.2991/icassr.2013.68How to use a DOI?
- stock asset; jump risk; threshold; variable intensity; contagion
- we build the threshold-based state-dependent autoregressive jump intensity-GARCH model to study smooth fluctuations and jump changes of individual stocks listed in China. It makes the jump intensity not only driven by idiosyncratic factors, but impacted by external state variables. Comparing with the existing models, it boasts better goodness of fit and explanatory ability. It not only can more clearly describe the time variation, clustering and threshold-based state-dependence of jump changes as well as capture the asymmetry and clustering in normal volatility, but also can better illustrate the risk contagion between cross-shareholding companies.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Ran Huang AU - Qiao Ke AU - Qiming Tang PY - 2013/08 DA - 2013/08 TI - Analyzing Jump Risk and its Contagious Effect of Stock Asset in Jump-GARCH Model with Threshold and Variable Intensity PB - Atlantis Press SP - 271 EP - 275 SN - 1951-6851 UR - https://doi.org/10.2991/icassr.2013.68 DO - https://doi.org/10.2991/icassr.2013.68 ID - Huang2013/08 ER -