DocumentCode :
2654181
Title :
Impact on the Results of ARCH Models with Different Distribution of the Residuals - Based on Comparative Analysis of Shanghai Stock Market Index Returns
Author :
Fang-yuan, Lu ; Cheng-yu, LI
Author_Institution :
Zhengzhou Univ., Zhengzhou
fYear :
2007
fDate :
20-22 Aug. 2007
Firstpage :
1882
Lastpage :
1887
Abstract :
This paper uses ARCH models to analyze Shanghai stock market index returns from 19 December 1990 to 30 November 2006, and compares the results of ARCH models with normal distribution and t distribution, finding that the results are very different. The conclusion is that the reasonable results of ARCH models are determined by selecting appropriate distribution of the residuals. T distribution is better suited to fitting the distribution of the residuals than normal distribution. The ARCH effect exists in Shanghai stock market. The leverage effect is significant, and the impact of negative news in the stock market is larger than positive news. Fluctuations caused by impact will be permanent, and can not be eliminated in a short time. The phenomenon of high returns with high risks does not exist in the market.
Keywords :
autoregressive processes; normal distribution; stock markets; ARCH models; Shanghai stock market index returns; normal distribution; t distribution; Cause effect analysis; Conference management; Data analysis; Engineering management; Finance; Fluctuations; Gaussian distribution; Radio access networks; Stock markets; ARCH effect; ARCH type models; Shanghai stock market index returns; normal distribution; t distribution;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Management Science and Engineering, 2007. ICMSE 2007. International Conference on
Conference_Location :
Harbin
Print_ISBN :
978-7-88358-080-5
Electronic_ISBN :
978-7-88358-080-5
Type :
conf
DOI :
10.1109/ICMSE.2007.4422114
Filename :
4422114
Link To Document :
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