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International Conference on Engineering and Business Management (EBM 2010 PAPERBACK)

Chengdu,China,China,3.24-3.26,2010

ISBN: 978-1-935068-05-1 Scientific Research Publishing, USA

Paperback 6066pp Pub. Date: March 2010

Category: Engineering

Price: $280

Title: Analysis of Shanghai & Shenzhen 300 Industry Index Yield Volatility Sequences Based on GARCH Family
Source: International Conference on Engineering and Business Management (EBM 2010 PAPERBACK) (pp 4085-4088)
Author(s): Lianqiang ZHOU, School of Business Administration, South China University of Technology, Guangzhou, Guangdong,050641
Abstract: Abstract：In this paper, yield sequences of four Shanghai and Shenzhen 300 industry index were modeled and analyzed through making use of the GARCH model family. Analysis revealed that Shanghai and Shenzhen 300 materials index yield sequence showed the greatest fluctuation among the four sequences. The GARCH (1,1) model under the assumption that errors subject to students-t distribution could fit the original sequence yield better. While the GARCH (1,1) models of the other three Shanghai and Shenzhen 300 index yield sequences under the assumption that errors follow the GED distribution could get a better fitting result. The economic significance of the fitting result is analyzed and the fluctuation size sequence of the four industry index yield is achieved in this paper.
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