Title :
The ARCH model applicationon on the securities volatility
Author_Institution :
Dept. Of Econ., Shandong Jiaotong Univ., Jinan, China
Abstract :
According to the efficient market theory, we Select the composite index from Shanghai stock market as a sample, and use random walk process of indexes to test the validity through the ARCH model which can be validated the predictability of Shanghai stock market, the empirical results shows that(1) Shanghai stock market High frequency data rate of return shows the fat-tailed distribution characteristics, as well as the normal distribution assumption: (2)the quantitative characteristics of Intraday volatility exit in Shanghai stock market (3) the leverage effect, volatility clustering and volatility persistence exist in the Shanghai stock market.
Keywords :
securities trading; ARCH model application; Shanghai stock market; composite index; efficient market theory; intraday volatility exit; random walk indexes process; securities volatility; volatility clustering; Economic forecasting; Fluctuations; Frequency; Gaussian distribution; Information security; Information technology; Investments; Predictive models; Stock markets; Testing; security volatilize; stock market; the ARCH model;
Conference_Titel :
Networking and Information Technology (ICNIT), 2010 International Conference on
Conference_Location :
Manila
Print_ISBN :
978-1-4244-7579-7
Electronic_ISBN :
978-1-4244-7578-0
DOI :
10.1109/ICNIT.2010.5508541
