| Titre : |
Empirical Analysis of Volatility of Chinese Stock Market Based on GARCH Model |
| Type de document : |
Mémoire |
| Auteurs : |
Wenbo ZHA, Auteur |
| Année de publication : |
2021 |
| Importance : |
28 p. |
| Note générale : |
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| Langues : |
Anglais (eng) |
| Mots-clés : |
Management
BOURSE DE COMMERCE ; CHINE ; RISQUE DE MARCHE
|
| Résumé : |
In this paper, GARCH model was first carried out on the yield data of Shanghai Composite Index in recent five years, and then the data of Shenzhen Component Index in the same period were added to carry out Multivariate GARCH model analysis. The purpose is to find and discuss the transmission of stock fluctuations within China. The results show that since February 1, 2016, The results show that the logarithmic return data of Shanghai Composite Index has a significant fat-tail characteristic, which is leptokurtic; the fluctuations are not in accordance with the normal distribution, are clustered, and the fluctuations have memory and will not decay over time. The empirical results of the TGARCH and EGARCH models show that the Shanghai Composite Index does not have a significant leverage effect. In addition, the Shenzhen Component Index was added to conduct a multivariate GARCH analysis. The BEKK model can test whether the movements between the two markets can significantly influence each other, but the analysis results show that there is no significant “volatility spillover effect”; the DCC model can use to show the dynamic correlation between the two markets, and the results show that the correlation between the returns of the two markets presents a strong dynamic time-variability, that is, there is only a weak short-term volatility persistence between the two markets. |
| Programme : |
MSc Financial Markets & Technologies |
| Permalink : |
https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=538634 |
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Empirical Analysis of Volatility of Chinese Stock Market Based on GARCH Model / 2021 
