Modeling Shanghai stock market volatility

J. Xu

Annals of Operations Research, 1999, vol. 87, issue 0, 152 pages

Abstract: There is considerable quantitative research on stock market volatility internationally, but little on China's emerging stock markets. Using Shanghai daily stock return data, this paper studies models for stock market volatility by comparing GARCH, EGARCH and GJR‐GARCHmodels. We find that the GARCH model that accounts for time varying volatility is a suitable model. Copyright Kluwer Academic Publishers 1999

Date: 1999
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DOI: 10.1023/A:1018916532180

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