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By using daily data of India market, an effort has been made to investigate the possible volatility and price-discovery relationships between the NIFTY spot index and index futures market with techniques of ARCH/GARCH model, Johansen's Cointegration test and Granger Causality test. The main conclusions of this paper are as follows: firstly, the introduction of stock index future (SIF) helps reduce...
This paper constructed GARCH Models to analyze the volatility of term-products of SHIBOR (Shanghai Inter-Bank Offered Rate), and found that short-term and long-term interest rate products have different characteristics of return volatility, non-normality and conditional heteroscedasticity, and GARCH models can fit the volatility of SHIBOR well.
In order to measure the open-ended fund's liquidity risk accurately, the method of non-liquidity and VaR are used in this paper. We measure the liquidity risk of open-ended fund with non-liquidity indicators, fitting these non-liquidity indicators of sample funds with GARCH model under normal distribution, t-distribution and generalized error distribution (GED), then put the fitting parameters into...
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