Studies of CSI-300 Index Futures Volatility on Garch Models and CARR Models

Sulin Zhang ()
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Sulin Zhang: Chongqing University of Technology

Chapter Chapter 19 in The 19th International Conference on Industrial Engineering and Engineering Management, 2013, pp 183-190 from Springer

Abstract: Abstract GARCH model is the most common way of financial assets volatility, recent Chou’s CARR model to estimate volatility also shows some advantages. This paper deals with the subject of CSI-300 Index Futures. We fit GARCH-GED model, EGARCH model, CARR model and CARRX model to the volatility of the CSI-300 Index Futures, and comparing and analyzing the predictive power of a variety of models based on the Mincer-Zarnowitz regression equation and Diebold-Mariano test. Our conclusion is that CARRX model on volatility research is better than any other model

Keywords: GARCH model; CARR model; Volatility; CSI-300 index futures (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-38442-4_19

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DOI: 10.1007/978-3-642-38442-4_19

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