Research on Features of Return in Chinese Stock Market Based on GARCH Model
- Xinyi Dang, Qiang Zhang
- Corresponding Author
- Xinyi Dang
Available Online December 2013.
- https://doi.org/10.2991/mdhss-13.2013.3How to use a DOI?
- GARCH family, volatility clustering, leverage effect, Chinese stock market
- 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.
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 -