Modeling Shanghai stock market volatility
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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.
KeywordsStock Market Stock Return Conditional Variance GARCH Model China Security Regulatory Commission
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