DocumentCode
2896774
Title
An Analysis of Return Volatility Based on the Data of Supermarket
Author
Ren, Biao ; Chang, Lin
Author_Institution
Sch. of Math. & Stat., Hebei Univ. of Econ. & Trade, Shijiazhuang
fYear
2006
fDate
13-16 Aug. 2006
Firstpage
3385
Lastpage
3388
Abstract
This paper mainly studies the return volatility of supermarket by using EGARCH-M, a model that is applied widely in stock markets. The result indicates that the commodities´ returns of the supermarket have the leverage effect, i.e. the impact of bad news on volatility is more than that of good news. This conclusion is consistent with stock market
Keywords
regression analysis; retail data processing; stock markets; EGARCH-M model; commodities´ returns; generalized auto-regressive conditional heteroskedasticity model; leverage effect; return volatility; stock market; supermarket data; Alcoholic beverages; Costs; Cybernetics; Electronic mail; Europe; Guidelines; Machine learning; Marketing and sales; Mathematical model; Mathematics; Statistical analysis; Statistics; Stock markets; Testing; EGARCH-M; Supermarket; leverage effect; return volatility;
fLanguage
English
Publisher
ieee
Conference_Titel
Machine Learning and Cybernetics, 2006 International Conference on
Conference_Location
Dalian, China
Print_ISBN
1-4244-0061-9
Type
conf
DOI
10.1109/ICMLC.2006.258499
Filename
4028653
Link To Document