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Forecast the Stock Volatility of Ping an Bank Based on HAR-RV Model

In: Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)

Author

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  • Chenrui Cao

    (Western Academy of Beijing, Beijing)

Abstract

ABSTRACT The importance of Ping An Bank in the Chinese stock market is obvious, and does the smallness of investors have an impact on its stock market? Based on heterogeneous autoregressive theory, I collected the close price of Ping An Bank stock market from January 2019 to March 2022, which will be divided into daily, weekly and monthly observations of volatility. Through the results of HAR-RV model, I found that the different type of investor does have an impact on the stock. While the daily results have a negative impact on the stock market, the weekly and monthly results have a positive impact on the stock market. And the article finds that the affection of volatility of the investor becomes stable through time.

Suggested Citation

  • Chenrui Cao, 2022. "Forecast the Stock Volatility of Ping an Bank Based on HAR-RV Model," Advances in Economics, Business and Management Research, in: Yushi Jiang & Yuriy Shvets & Hrushikesh Mallick (ed.), Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022), pages 885-889, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-036-7_130
    DOI: 10.2991/978-94-6463-036-7_130
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