Wave of financial globalization and financial innovation has brought great changes of the international financial market, the traditional measuring method is not well adapt to these new changes, this requires the presence of the new analysis method. This article will link function to copulas connect theory is introduced into the financial analysis. In this paper, the author makes an empirical analysis of Shenzhen composite index using GRCH family model, and the results show that Chinese stock yield has significant peak fat-tailed features, and have volatility clustering
| Published in | Journal of Investment and Management (Volume 4, Issue 5) |
| DOI | 10.11648/j.jim.20150405.17 |
| Page(s) | 186-190 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2024. Published by Science Publishing Group |
GRCH Model, the Comprehensive Index, Volatility
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APA Style
Diao Yanhua, Guo Siliang. (2015). Empirical Study on Stock Return Volatility in China's Stock Market. Journal of Investment and Management, 4(5), 186-190. https://doi.org/10.11648/j.jim.20150405.17
ACS Style
Diao Yanhua; Guo Siliang. Empirical Study on Stock Return Volatility in China's Stock Market. J. Invest. Manag. 2015, 4(5), 186-190. doi: 10.11648/j.jim.20150405.17
AMA Style
Diao Yanhua, Guo Siliang. Empirical Study on Stock Return Volatility in China's Stock Market. J Invest Manag. 2015;4(5):186-190. doi: 10.11648/j.jim.20150405.17
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Download@article{10.11648/j.jim.20150405.17,
author = {Diao Yanhua and Guo Siliang},
title = {Empirical Study on Stock Return Volatility in China's Stock Market},
journal = {Journal of Investment and Management},
volume = {4},
number = {5},
pages = {186-190},
doi = {10.11648/j.jim.20150405.17},
url = {https://doi.org/10.11648/j.jim.20150405.17},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jim.20150405.17},
abstract = {Wave of financial globalization and financial innovation has brought great changes of the international financial market, the traditional measuring method is not well adapt to these new changes, this requires the presence of the new analysis method. This article will link function to copulas connect theory is introduced into the financial analysis. In this paper, the author makes an empirical analysis of Shenzhen composite index using GRCH family model, and the results show that Chinese stock yield has significant peak fat-tailed features, and have volatility clustering},
year = {2015}
}
TY - JOUR T1 - Empirical Study on Stock Return Volatility in China's Stock Market AU - Diao Yanhua AU - Guo Siliang Y1 - 2015/08/12 PY - 2015 N1 - https://doi.org/10.11648/j.jim.20150405.17 DO - 10.11648/j.jim.20150405.17 T2 - Journal of Investment and Management JF - Journal of Investment and Management JO - Journal of Investment and Management SP - 186 EP - 190 PB - Science Publishing Group SN - 2328-7721 UR - https://doi.org/10.11648/j.jim.20150405.17 AB - Wave of financial globalization and financial innovation has brought great changes of the international financial market, the traditional measuring method is not well adapt to these new changes, this requires the presence of the new analysis method. This article will link function to copulas connect theory is introduced into the financial analysis. In this paper, the author makes an empirical analysis of Shenzhen composite index using GRCH family model, and the results show that Chinese stock yield has significant peak fat-tailed features, and have volatility clustering VL - 4 IS - 5 ER -
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