![](/images/graphics-bg.png)
The Volatility of the Index of Shanghai Stock Market Research Based on ARCH and Its Extended Forms
Joint Authors
Zhang, Zuoquan
Zhao, Qin
Liu, Hao
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2009, Issue 2009 (31 Dec. 2009), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-03-18
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
The proposed ARCH and its extension model have brought a powerful tool for the study of stock market volatility as well as verify that a “high risk brings high-yield” and the “leverage effect” of stock market.
This paper gives modeling analysis by using the ARCH group models; in the last ten years Shanghai's index returns, concluded that there are significant “high-yield associated with high-risk” phenomenon and the “leverage effect” in the domestic securities market.
The previous studies in fitting return series of ARMA models, mostly with low accuracy have a very subjective “observation autocorrelation and partial autocorrelation function method,” and even directly use “random walk” model.
That will inevitably have some impact on the accuracy of the model.
While this paper adopts the Pandit-Wu formulaic modeling method, the ARMA model is built on a strong theoretical foundation.
American Psychological Association (APA)
Liu, Hao& Zhang, Zuoquan& Zhao, Qin. 2010. The Volatility of the Index of Shanghai Stock Market Research Based on ARCH and Its Extended Forms. Discrete Dynamics in Nature and Society،Vol. 2009, no. 2009, pp.1-9.
https://search.emarefa.net/detail/BIM-495243
Modern Language Association (MLA)
Liu, Hao…[et al.]. The Volatility of the Index of Shanghai Stock Market Research Based on ARCH and Its Extended Forms. Discrete Dynamics in Nature and Society No. 2009 (2009), pp.1-9.
https://search.emarefa.net/detail/BIM-495243
American Medical Association (AMA)
Liu, Hao& Zhang, Zuoquan& Zhao, Qin. The Volatility of the Index of Shanghai Stock Market Research Based on ARCH and Its Extended Forms. Discrete Dynamics in Nature and Society. 2010. Vol. 2009, no. 2009, pp.1-9.
https://search.emarefa.net/detail/BIM-495243
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-495243