VALUE-AT-RISK ESTIMATION USING GARCH MODELS FOR THE CHINESE MAINLAND STOCK MARKET
With the acceleration of economic globalization, the immature Chinese mainland stock market is gradually associated with the stock markets of other countries. This paper predict the return rate of Chinese mainland stock market using several models from GARCH family, test the predictability by calcul...
| Main Author: | |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
Uppsala universitet, Statistiska institutionen
2020
|
| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-412997 |