Proceedings of the 2013 International Conference on Applied Social Science Research (ICASSR-2013)

Analyzing Jump Risk and its Contagious Effect of Stock Asset in Jump-GARCH Model with Threshold and Variable Intensity

Authors
Ran Huang, Qiao Ke, Qiming Tang
Corresponding Author
Ran Huang
Available Online August 2013.
DOI
https://doi.org/10.2991/icassr.2013.68How to use a DOI?
Keywords
stock asset; jump risk; threshold; variable intensity; contagion
Abstract
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.
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Proceedings
2013 International Conference on Applied Social Science Research (ICASSR-2013)
Part of series
Advances in Intelligent Systems Research
Publication Date
August 2013
ISBN
978-90786-77-69-7
ISSN
1951-6851
DOI
https://doi.org/10.2991/icassr.2013.68How 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  - 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
BT  - 2013 International Conference on Applied Social Science Research (ICASSR-2013)
PB  - Atlantis Press
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  -