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Annals of Operations Research

, Volume 87, Issue 0, pp 141–152 | Cite as

Modeling Shanghai stock market volatility

Article

Abstract

There is considerable quantitative research on stock market volatility internationally, but little on China's emerging stock markets. Using Shanghai daily stock return data, this paper studies models for stock market volatility by comparing GARCH, EGARCH and GJR‐GARCHmodels. We find that the GARCH model that accounts for time varying volatility is a suitable model.

Keywords

Stock Market Stock Return Conditional Variance GARCH Model China Security Regulatory Commission 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Kluwer Academic Publishers 1999

Authors and Affiliations

  • J. Xu

There are no affiliations available

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