Volatility Research of Shanghai Stock Market Based on GARCH Model Family

DOI

10.2991/icesame-17.2017.423How to use a DOI?

Keywords

volatility, GARCH family model, empirical analysis, time series analysis

Abstract

We made statistical analysis of the income sequence of the Shanghai stock market from 2013.1.4 to 2016.12.30 using EVIEWS7.2 and matlabR2013b. We found that the income series have excess kurtosis and heteroscedasticity, and the distribution of series data is not normal distribution. There is obvious ARCH effect and fluctuation aggregation effect in the series, but the leverage effect is not obvious. Some changes and new features have appeared in the stock market of China.

Copyright

© 2017, 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/).

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TY  - CONF
AU  - Donghui Lv
PY  - 2017/06
DA  - 2017/06
TI  - Volatility Research of Shanghai Stock Market Based on GARCH Model Family
BT  - Proceedings of the 2017 2nd International Conference on Education, Sports, Arts and Management Engineering (ICESAME 2017)
PB  - Atlantis Press
SP  - 2002
EP  - 2007
SN  - 2352-5398
UR  - https://doi.org/10.2991/icesame-17.2017.423
DO  - 10.2991/icesame-17.2017.423
ID  - Lv2017/06
ER  -