Modeling and forecasting volatility of Shanghai Stock Exchange with GARCH family models
This paper discusses the performance of modeling and forecasting volatility ofdaily stock returns of A-shares in Shanghai Stock Exchange. The volatility is modeledby GARCH family models which are GARCH, EGARCH and GJR-GARCHmodels with three distributions, namely Gaussian distribution, student-t dist...
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| Format: | Others |
| Language: | English |
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Uppsala universitet, Statistiska institutionen
2011
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-155066 |