Model construction and empirical study of ARMA-EGARCH

Autor:	Zhong-min Yin, Bo Zhang
Rok vydání:	2009
Předmět:	Empirical research Financial economics Econometrics Autoregressive–moving-average model Continuance Security market Arch Volatility (finance) Data modeling Mathematics
Zdroj:	2009 IEEE International Conference on Grey Systems and Intelligent Services (GSIS 2009).
Popis:	This paper establishes an ARMA-EGARCH-M model by combining ARMA model with ARCH group models to study securities market volatility appraisal. The results based on examination of measuring indices for forecasting error using mass samples indicate that ARMA-EGARCH-M model surpasses ARCH group models on Shanghai securities market volatility fitting. To solve the fluctuation cluster and continuance, it's suggested to establish a short sales trading mechanism in the market.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::9209e60e42760ba3e494d55cdb2d6dae https://doi.org/10.1109/gsis.2009.5408171 Zobrazit plný text záznamu