Modeling Volatility for the Chinese Equity Markets

Frank Fabozzi (), Radu Tunaru and Tony Wu
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Radu Tunaru: Senior Lecturer in Financial Economics, London Metropolitan University
Tony Wu: Senior Analyst, Jutian Securities Company Ltd

Annals of Economics and Finance, 2004, vol. 5, issue 1, 79-92

Abstract: A series of GARCH models are investigated for the volatility of the Chinese equity data from the Shenzhen and Shanghai markets. There has been empirical evidence of volatility clustering, contrary to findings in previous studies. Each market contains different GARCH models which fit well. The models are used to test for a spill-over effect between the two Chinese markets, an example of volatility transmission within one country and between two equity exchanges. Our testing suggests that there is no volatility transmission between the two markets.

Keywords: Emerging markets; Volatility clustering; GARCH-M; IGARCH; TAGARCH; Spill-over effect (search for similar items in EconPapers)
JEL-codes: C51 G14 (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:cuf:journl:y:2004:v:5:i:1:p:79-92

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