Research on return volatility of shenzhen stock exchange component index based on garch model

HIGHLIGHTS

• What: 4.6.1 GARCH Model To further characterize the volatility cumulative and time-varying nature of the series returns, a GARCH(1,1) model is constructed in this paper based on the above equation, and the estimation results are shown below. The equation for the variance equation is as follows: 2 2 𝜎𝑡2=1.02𝐸 - 05 + 0.038114𝑎𝑡2 + 0.069410𝑎𝑡-1 𝑑𝑡-1 + 0.877792𝜎𝑡-1 Based on the results from Table 6, the model results show that the series as a whole all reach significance at the 5% level of significance and the model lagged . . .
  

   

  

  If you want to have access to all the content you need to log in!

  Thanks :)

  Username or Email

  Password

  Remember me

  Lost your password?

  If you don't have an account, you can create one here.