Modeling Volatility for the Chinese Equity Markets
AbstractA series of GARCH models are investigated for the volatility of the Chinese equity data from the Shenzhen and Shanghai markets. There has been empirical evidence of volatility clustering, contrary to findings in previous studies. Each market contains different GARCH models which fit well. The models are used to test for a spill-over effect between the two Chinese markets, an example of volatility transmission within one country and between two equity exchanges. Our testing suggests that there is no volatility transmission between the two markets.
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Bibliographic InfoArticle provided by Society for AEF in its journal Annals of Economics and Finance.
Volume (Year): 5 (2004)
Issue (Month): 1 (May)
Emerging markets; Volatility clustering; GARCH-M; IGARCH; TAGARCH; Spill-over effect;
Find related papers by JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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