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International Symposium on Neural Networks

ISNN 2009: Advances in Neural Networks – ISNN 2009 pp 1106–1111Cite as

Analysis of Nonlinear Dynamic Structure for the Shanghai Stock Exchange Index

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Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 5553))

Abstract

In this paper,we investigate the statistical properties of the Shanghai stock exchange index(SSEI). A GARCH-M(3,4) model and a TARCH-M(3,4) model successfully capture non-linear structure and asymmetries in the conditional mean and conditional variance. The TARCH-M(3,4) model is better in term of forecasting performance.

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Author information

Authors and Affiliations

  1. College of Science, Wuhan University of Science and Technology, Wuhan, 430065, China

    Yu Dong & Hu Song

Authors
  1. Yu Dong
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  2. Hu Song
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Editor information

Editors and Affiliations

  1. Departamento de Control Automático, CINVESTAV-IPN, A.P. 14-740, Av.IPN 2508, 07360, México D.F., México

    Wen Yu

  2. Deptartment of Electrical and Computer Engineering, Stevens Institute of Technology, Hoboken, USA

    Haibo He

  3. Dept. of Electrical and Computer Engineering, South Dakota School of Mines & Technology, 501 E. St. Joseph Street, SD 57701, Rapid City, USA

    Nian Zhang

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© 2009 Springer-Verlag Berlin Heidelberg

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Dong, Y., Song, H. (2009). Analysis of Nonlinear Dynamic Structure for the Shanghai Stock Exchange Index. In: Yu, W., He, H., Zhang, N. (eds) Advances in Neural Networks – ISNN 2009. ISNN 2009. Lecture Notes in Computer Science, vol 5553. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-01513-7_122

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  • DOI: https://doi.org/10.1007/978-3-642-01513-7_122

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-01512-0

  • Online ISBN: 978-3-642-01513-7

  • eBook Packages: Computer ScienceComputer Science (R0)

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