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- W2018330129 abstract "This paper adopts a fusion model to investigate whether there are three distinctive dynamic features in Chinese stock market, that is, permanent volatility, transitory volatility and jumps. These three features are captured in the component-GARCH-jump model we proposed in the research. The empirical result shows 90 jumps are indentified by the model between 1999 and 2011. The permanent part of the volatility is a relatively smooth movement except in the early stage of the market. The transitory volatility highly resembles the total volatility. The jumps and volatility do not coincide too much which mean the model divide them efficiently. The analysis also depicts the instability of the market's early stage, the prosperity in 2007 and the following international financial crisis around 2008." @default.
- W2018330129 created "2016-06-24" @default.
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- W2018330129 date "2014-08-01" @default.
- W2018330129 modified "2023-09-26" @default.
- W2018330129 title "Idententify dynamic features of Chinese stock markets by component-GARCH-jump model" @default.
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- W2018330129 doi "https://doi.org/10.1109/icmse.2014.6930390" @default.
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