Investigation of forecasted risk interrelationship: base on GARCH model, causality in China markets
This paper used data from the Shenzhen and Shanghai stock markets to simulate the adjusted volatility, and applied time series methods to realize the relationships of the volatilities between the two markets. The unit root test, and co-integration analysis to show whether it exists equilibrium rela...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Vilnius Gediminas Technical University
2014-11-01
|
| Series: | Journal of Business Economics and Management |
| Subjects: | |
| Online Access: | https://journals.vgtu.lt/index.php/JBEM/article/view/3051 |