DocumentCode
3407980
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
fYear
2009
fDate
10-12 Nov. 2009
Firstpage
1607
Lastpage
1611
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/GSIS.2009.5408171
Filename
5408171
Link To Document