Proceedings of the 2013 International Conference on the Modern Development of Humanities and Social Science

Research on Features of Return in Chinese Stock Market Based on GARCH Model

Authors
Xinyi Dang, Qiang Zhang
Corresponding Author
Xinyi Dang
Available Online December 2013.
DOI
https://doi.org/10.2991/mdhss-13.2013.3How to use a DOI?
Keywords
GARCH family, volatility clustering, leverage effect, Chinese stock market
Abstract
The main purpose of the research is to test some features in Chinese market with GARCH family. GARCH can capture volatility clustering in stock market. GARCH-M is applied here to verify that stocks with high risk tend to pay high return. TGARCH and EGARCH illustrate the existence of asymmetries. These features might be of help for investors of Chinese stock market.
Open Access
This is an open access article distributed under the CC BY-NC license.

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Proceedings
2013 International Conference on the Modern Development of Humanities and Social Science
Part of series
Advances in Intelligent Systems Research
Publication Date
December 2013
ISBN
978-90786-77-90-1
ISSN
1951-6851
DOI
https://doi.org/10.2991/mdhss-13.2013.3How 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  - Xinyi Dang
AU  - Qiang Zhang
PY  - 2013/12
DA  - 2013/12
TI  - Research on Features of Return in Chinese Stock Market Based on GARCH Model
BT  - 2013 International Conference on the Modern Development of Humanities and Social Science
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/mdhss-13.2013.3
DO  - https://doi.org/10.2991/mdhss-13.2013.3
ID  - Dang2013/12
ER  -