Title :
A Modified GJR-GARCH Model with Information Disseminating Speed
Author :
Zhao, Guo Qing ; Wei, Jun
Author_Institution :
Renmin Univ. of China, Beijing
Abstract :
In this paper, the efficiency of speculative market incorporating new information into price is analyzed and discussed. The GJR-GARCH model is modified to capture the effect of information disseminating speed on the conditional volatility of stock index returns. Different empirical results have been gotten when the new model is applied to Shanghai Shcomp and Dow Jones indices. It is indicated that the reason of this difference is different microstructures of Shanghai and New York stock markets.
Keywords :
regression analysis; stock markets; New York stock markets; Shanghai Shcomp and Dow Jones indices; Shanghai stock markets; information disseminating; modified GJR-GARCH model; stock index returns; Asset management; Computational intelligence; Information analysis; Information security; Microstructure; Portfolios; Risk management; Stock markets;
Conference_Titel :
Computational Intelligence and Security Workshops, 2007. CISW 2007. International Conference on
Conference_Location :
Harbin
Print_ISBN :
978-0-7695-3073-4
DOI :
10.1109/CISW.2007.4425565
