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The volatility of stock price states the uncertainty of the future price movements, that is risk. By means of the ARCH and its modified models, this paper presents a verification analysis of the volatility heteroscedasticity and the resilience to external shocks for China stock market in the past three years based on the stock index of SSE180, SZSE40, Coal, Petroleum and Finance sectors. The study...
By means of the ARCH (Auto-regressive Conditional Heteroscedasticity) and its modified models, this paper presents an empirical analysis of the volatility heteroscedasticity and the resilience to external shocks for China emerging stock market in the past three years based on the stock index of SSE180, SZSE40, Coal/Petroleum and Finance sectors. The results show that the fluctuation of SSE180 index...
The stock prices are affected by historical information to a certain extent. The fluctuation volatility can be measured by the Hurst index. With modified rescale range/standard deviation (R/S) model, this paper presents an analysis of CSI 300 index, coal and oil industry index, and other six individual stocks in different industries for their fluctuation features.
In stock markets, the price is fluctuating around its average value with the time being. One of the volatilities is the variance heteroscedasticity. It is found that auto-regressive conditional heteroscedasticity (ARCH) model provides an alternative approach for the simulation of stock heteroscedasticity. In this paper, the application of ARCH and its modified models is presented for the risk analysis...
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