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The appropriate forecasting models and dependence measurement: Real estate sector stock and Shenzhen index in People’s Republic of China

Author

Listed:
  • Lili Zhou

    (Chiang Mai University)

  • Kanchana Chokethaworn

    (Chiang Mai University)

  • Chukiat Chaiboonsri

    (Chiang Mai University)

  • Prasert Chaitip

    (Chiang Mai University)

Abstract

This paper mainly has two purposes. On the one hand, it aims to find the appropriate models for forecasting the Real Estate Sector Stock and Shenzhen Index in People’s Republic of China, respectively. On the other hand, this paper will analyze the dependence measures between these two kinds of stock indexes in China. The linear method and nonlinear method was introduced for seeking the appropriate models for each stock index. And the empirical copula method was implied to examine the dependence measures between these two indexes. The results are: Firstly, the Autoregressive-linear model (AR-linear Model) fits for forecasting the Real Estate Sector Stock and Shenzhen Index over the period of 2006 to 2012. Secondly, based on the empirical copula approach, the dependence measures between returns in percentage of Real Estate Sector Stock and Shenzhen Index is very strong.

Suggested Citation

  • Lili Zhou & Kanchana Chokethaworn & Chukiat Chaiboonsri & Prasert Chaitip, 2012. "The appropriate forecasting models and dependence measurement: Real estate sector stock and Shenzhen index in People’s Republic of China," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 1(3), pages 77-92, September.
    • Handle: RePEc:chi:journl:v:1:y:2012:i:3:p:77-92
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