This paper discusses the performance of modeling and forecasting volatility ofdaily stock returns of A-shares in Shanghai Stock Exchange. The volatility is modeledby GARCH family models which are GARCH, EGARCH and GJR-GARCHmodels with three distributions, namely Gaussian distribution, student-t distributionand generalized error distribution (GED). In order to determine the performanceof forecasting volatility, we compare the models by using the Root MeanSquared Error (RMSE). The results show that the EGARCH models work so wellin most of daily stock returns and the symmetric GARCH models are better thanasymmetric GARCH models in this paper.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:uu-155066 |
| Date | January 2011 |
| Creators | Han, Yang |
| Publisher | Uppsala universitet, Statistiska institutionen |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
Page generated in 0.0017 seconds