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This article proposed a stochastic volatility model with T-distribution leveraged (ASV-T model), the model can be used to reflect the leverage effect and the fat-tail effect exist in stock market. Through the statistics analysis of the model, it is proved that the model is workable and is best for the fitting of historical data. With empirical research on Chinese GEM index, it is further proved that...
With the rapid development of global financial markets, the volatility of these markets is further exacerbated. Under the influence of global finance, the volatility of China's stock market increased. Investors have to suffer more risks by the growing volatility. A good way to measure the risk is quite necessary. In this paper we selected mainland China, Hong Kong, Taiwan's stock index return rates...
Based on the GARCH model we study the characteristics of plate index on Chinese stock market in this paper. We analysis the characteristics of volatility in different industries and find indexes have different performance in the January effect test and the festival effect test. Finally, we use multivariate-GARCH model to study the dynamic relationship among different industries and the results show...
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