Computer, Informatics, Cybernetics and Applications pp 1569-1574 | Cite as
The Study About Long Memory and Volatility Persistence in China Stock Market Based on Fractal Theory and GARCH Model
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.
KeywordsFractal theory Volatility persistence GARCH model Long memory characteristic
This work was supported by Double support plan (school-level special) of Sichuan Agricultural University, 2011.
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