Abstract
This paper conducts an empirical study on the daily return rate of Shanghai composite index from July 3, 2000 to July 1, 2009. The result shows that China financial market daily returns possess remarkable ARCH effects. The result shows that Shanghai stock market daily returns has the features like leptokurtosis, heavy-tailed and possesses remarkable ARCH effects. Then based on three types of distribution, we establish the GARCH (1, 1) models of Shanghai Composite Index daily yield series. By comparing the results, GARCH (1, 1) Model based on GED distribution performs the best. By conducting ARCH-LM test on residual error, the results show that this model eliminates the ARCH effects effectively. At last the leverage effect of Shanghai stock market is checked by using TARCH and EGARCH Model.
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Acknowledgements
The paper is supported by the National Natural Science Foundation (70871055); the New Century Talents plan of Ministry of Education of China (NCET-08-0615); the Key Programs of Science and Technology Department of Guangdong Province (2010).
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© 2011 Springer-Verlag Berlin Heidelberg
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Xu, Y., Pang, S. (2011). Correlation Analysis of Yield and Volatility Based on GARCH Family Models. In: Wu, D., Zhou, Y. (eds) Modeling Risk Management for Resources and Environment in China. Computational Risk Management. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-18387-4_58
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DOI: https://doi.org/10.1007/978-3-642-18387-4_58
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