GARCH-Type Model with Continuous and Jump Variation for Stock Volatility and Its Empirical Study in China
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-01-12
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
On the basis of GARCH-RV-type model, we decomposed the realized volatility into continuous sample path variation and discontinuous jump variation, then proposed a new volatility model which we call the GARCH-type model with continuous and jump variation (GARCH-CJ-type model).
By using the 5-minute high frequency data of HUSHEN 300 index in China, we estimated parameters of the GARCH-type model, the GARCH-RV-type model, and the GARCH-CJ-type model and compared the three types of models’ predictive power to the future volatility.
The results show that the realized volatility and the continuous sample path variation have certain predictive power for future volatility, but the discontinuous jump variation does not have that kind of function.
What is more, the GARCH-CJ-type model has a more power to predict the future volatility than the other two types of models.
Therefore, the GARCH-CJ-type model is much more useful for the research on the capital assets pricing, the derivative security valuation, and so on.
American Psychological Association (APA)
Zhang, Huannan& Lan, Qiujun. 2014. GARCH-Type Model with Continuous and Jump Variation for Stock Volatility and Its Empirical Study in China. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-468051
Modern Language Association (MLA)
Zhang, Huannan& Lan, Qiujun. GARCH-Type Model with Continuous and Jump Variation for Stock Volatility and Its Empirical Study in China. Mathematical Problems in Engineering No. 2014 (2014), pp.1-8.
https://search.emarefa.net/detail/BIM-468051
American Medical Association (AMA)
Zhang, Huannan& Lan, Qiujun. GARCH-Type Model with Continuous and Jump Variation for Stock Volatility and Its Empirical Study in China. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-468051
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-468051