The Study About Long Memory and Volatility Persistence in China Stock Market Based on Fractal Theory and GARCH Model

Conference paper
Part of the Lecture Notes in Electrical Engineering book series (LNEE, volume 107)

Abstract

The research to volatility characteristics in financial market is foundation to the problems of capital assets pricing and avoiding strategy of financial risk. This chapter gives the empirical study about the long memory and volatility persistence in China stock market, using fractal spectral density estimation for time series and GARCH model, and gets some conclusions.

Keywords

Fractal theory Volatility persistence GARCH model Long memory characteristic 

Notes

Acknowledgment

This work was supported by Double support plan (school-level special) of Sichuan Agricultural University, 2011.

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Copyright information

© Springer Science+Business Media B.V. 2012

Authors and Affiliations

  1. 1.College of BusinessSichun Agricultural UniversityDujiangyanChina

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