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- W2380388552 abstract "In this paper,The ARMA(m,n)-EGARCH(p,q) and ARMA(m,n)- TARCH(p,q) model is used to fit and analyze the asymmetry volatility of China stock market.The samples are the close prices of Shanghai and Shenzhen A share index from January in 1993.The findings are: In different period,Both in Shanghai and Shenzhen A share Stock Market,the asymmetry of information on Volatility of the stock return rate present stage characteristic.In the initial stages of the stock market,reverse asymmetry volatility or no asymmetry volatility character is present,along with the development of the stock market,the asymmetry volatility and leverage effect are present." @default.
- W2380388552 created "2016-06-24" @default.
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- W2380388552 date "2007-01-01" @default.
- W2380388552 modified "2023-09-23" @default.
- W2380388552 title "An Empirical Study on the Asymmetry Volatility of China A Share Stock Market" @default.
- W2380388552 hasPublicationYear "2007" @default.
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