DocumentCode
2705077
Title
A Modified GJR-GARCH Model with Information Disseminating Speed
Author
Zhao, Guo Qing ; Wei, Jun
Author_Institution
Renmin Univ. of China, Beijing
fYear
2007
fDate
15-19 Dec. 2007
Firstpage
592
Lastpage
595
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Computational Intelligence and Security Workshops, 2007. CISW 2007. International Conference on
Conference_Location
Harbin
Print_ISBN
978-0-7695-3073-4
Type
conf
DOI
10.1109/CISW.2007.4425565
Filename
4425565
Link To Document