Title :
Auto-Regressive Conditional Heteroscedasticity Analysis of Portfolio Volatilities
Author :
Ke, Jinchuan ; Zhang, Rong ; Chen, Zhe
Author_Institution :
Sch. of Econ. & Manage., Beijing Jiaotong Univ., Beijing, China
Abstract :
By means of the ARCH (Auto-regressive Conditional Heteroscedasticity) and its modified models, this paper presents an empirical analysis of the volatility heteroscedasticity and the resilience to external shocks for China emerging stock market in the past three years based on the stock index of SSE180, SZSE40, Coal/Petroleum and Finance sectors. The results show that the fluctuation of SSE180 index and SZSE40 index decays slowly, indicating both SSE180 and SZSE40 have a long-term volatility self-similarity and assimilation to external shocks. The results for the index of Coal/Petroleum and Finance vary with the capacity of the assimilation to external shocks.
Keywords :
autoregressive processes; investment; stock markets; China emerging stock market; SSE180 stock index; SZSE40 stock index; autoregressive conditional heteroscedasticity analysis; external shocks resilience; finance sectors; portfolio volatilities; volatility heteroscedasticity; Economic forecasting; Electric shock; Finance; Fluctuations; Information analysis; Petroleum; Portfolios; Predictive models; Stochastic processes; Stock markets; ARCH; Heteroscedasticity; Return; Risk; Stock; Volatility;
Conference_Titel :
Information and Financial Engineering, 2009. ICIFE 2009. International Conference on
Conference_Location :
Singapore
Print_ISBN :
978-0-7695-3606-4
DOI :
10.1109/ICIFE.2009.36
