Title :
Volatility of Stock Yield Based on ARCH Model
Author_Institution :
Fujian Univ. of Technol. Fuzhou, Fuzhou, China
Abstract :
The yield and volatility of Shanghai A stock market is studied based on ARCH model in this paper. Moreover, analysis about the volatility of China stock market has been make to clarify the tendency and the features of the China stock market, which is hope to promote the healthy development of China stock market.
Keywords :
autoregressive processes; stock markets; ARCH model; China stock market analysis; China stock market volatility; Shanghai A stock market; autoregressive conditional heteroskedasticity model; stock yield volatility; Analytical models; Correlation; Graphics; Indexes; Inspection; Mathematical model; Stock markets; ARCH model; China stock market; stocks yield; volatility;
Conference_Titel :
Computational Sciences and Optimization (CSO), 2012 Fifth International Joint Conference on
Conference_Location :
Harbin
Print_ISBN :
978-1-4673-1365-0
DOI :
10.1109/CSO.2012.30
