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The bid-ask spread is an important indicator of the financial market liquidity and efficiency. In this paper, we study the dynamic of spread volatility of 40 constituent stocks of Shenzhen stock exchange Index (SZEI) in Chinese stock market, using GARCH family models. Perfected GARCH model is identified according to AIC and BIC criteria, then a hybrid GARCH-Neural Network (GARCH-NN) model based on...
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