Reviewing on China Development on Stock Market Volatility Model for The Last 20 Years

DOI

10.2991/978-94-6463-098-5_60How to use a DOI?

Keywords

Risk management; VaR; GARCH; China stock market; Mixed frequency volatility model

Abstract

Studying for volatility is important for risk management, since extreme shock can have terrible impact on the economy as well as on people’s lives. Therefore, this article would like to review on the development of stock market volatility model in China for the last 20 years, hoping to find out how the scholars think of those models, what are the problem to these models and what is the future direction of studying the volatility model. The article does a literature review on some of the researches done for the study on the volatility of China stock market, focusing on what model they use, what data they use as well as the reason and what they find in conclusion and whether there is any latest research on some new model to estimate volatility. The review finds that finding the suitable distribution instead of normal distribution on volatility model to better describe the heavy-tailed, high-kurtosis and asymmetric characteristic of China stock market, and applying high-frequency and mixed frequency data has been a trend of research in China. Therefore, applying more latest and derived mixed frequency data when predicting the volatility of China stock market or looking for more macro variables that are related with the fluctuation, comparing how they perform in China stock market and which distribution can help those models to predict the volatility better will be the research direction and possibly the development trend of future research for China.

Copyright

© 2023 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Yue Wei
PY  - 2022
DA  - 2022/12/27
TI  - Reviewing on China Development on Stock Market Volatility Model for The Last 20 Years
BT  - Proceedings of the 2022 4th International Conference on Economic Management and Cultural Industry (ICEMCI 2022)
PB  - Atlantis Press
SP  - 535
EP  - 542
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-098-5_60
DO  - 10.2991/978-94-6463-098-5_60
ID  - Wei2022
ER  -