Study of ST Stock Market Volatility with Nonlinear Method
- DOI
- 10.2991/asshm-13.2013.116How to use a DOI?
- Keywords
- ARCH model; ST stocks; volatility; lev-erage effect
- Abstract
As a kind of stock treated specially, ST stock has higher risks as well as high rev-enues; so, it is of great significance to study the market volatility of ST stocks in Chinese stock market. The 745 index return rates of ST stocks from April 1st, 2010 to April 26th, 2013are studied with nonlinear method. It is demonstrated: ST index return rate has peak fat-tail charac-teristics and heteroskedasticity;the EGARCH model established on the se-quences of ST index return rate shows that there is obvious leverage effect in Chinese stock market. Meanwhile, it could also be known from the study that GARCH model fits best the return rate sequence, through which short-term pre-diction of ST index is conducted, predict-ing correctly the short-term several-day movements with stable results.
- Copyright
- © 2013, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Yu-dong Wu PY - 2013/12 DA - 2013/12 TI - Study of ST Stock Market Volatility with Nonlinear Method BT - Proceedings of the 2013 International Conference on Advances in Social Science, Humanities, and Management PB - Atlantis Press SP - 619 EP - 624 SN - 1951-6851 UR - https://doi.org/10.2991/asshm-13.2013.116 DO - 10.2991/asshm-13.2013.116 ID - Wu2013/12 ER -