Title :
Model construction and empirical study of ARMA-EGARCH
Author :
Zhang, Bo ; Yin, Zhong-min
Author_Institution :
Xi´´an Univ. of Technol., Xi´´an, China
Abstract :
This paper establishes an ARMA-EGARCH-M model by combining ARMA model with ARCH group models to study securities market volatility appraisal. The results based on examination of measuring indices for forecasting error using mass samples indicate that ARMA-EGARCH-M model surpasses ARCH group models on Shanghai securities market volatility fitting. To solve the fluctuation cluster and continuance, it´s suggested to establish a short sales trading mechanism in the market.
Keywords :
autoregressive moving average processes; securities trading; ARMA-EGARCH; fluctuation cluster; mass samples; securities market volatility appraisal; short sales trading mechanism; Appraisal; Data analysis; Economic forecasting; Equations; Fluctuations; Intelligent systems; Market research; Predictive models; Security; Stock markets;
Conference_Titel :
Grey Systems and Intelligent Services, 2009. GSIS 2009. IEEE International Conference on
Conference_Location :
Nanjing
Print_ISBN :
978-1-4244-4914-9
Electronic_ISBN :
978-1-4244-4916-3
DOI :
10.1109/GSIS.2009.5408171
