- 會議論文
Estimating Indices Volatility of China's Stock Exchange Using GARCH Model
摘要
This paper investigates the volatility of CSI 100, CSI 200 and CSI 500 which large, medium and small listed firms of China's stock exchange are included in. The GARCH and EGARCH model are employed to test whether the residual series of indices have autocorrelation. we find the series of indices return are autocorrelation. Based on the ARCH effects, the GARCH and EGARCH model are established to estimate the volatility of residuals. This paper shows that the GARCH and EGARCH models can fully explain the residuals volatility of indices returns of China's A-share significantly.
延伸閱讀
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