Currency, property and stock market volatility : an empirical analysis of china

HIGHLIGHTS

• What: The application of the VARMGARCH-BEKK time series model and the GARCH model aims to assess volatility correlations between property prices currency supply and the stock index. In this paper, through the comprehensive judgment of AIC, SC and HQC criteria, the optimal lag order is determined to be 1 period, and most of the empirical results using GARCH-type models show that the first-order lag model can have a very good configuration for the time series.
• Who: Sicheng Meng from the Empirical Analysis of China Lingnan College, Sun Yat-Sen University, China have . . .
  

   

  

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