The Empirical Research on the Undulation of the National Debt Market in Shanghai Stock Exchange
Zheng Jiang-nan · Caijing lilun yu shijian · 2007
By the empirical analysis of the national debt market returns and volatilities in the Shanghai stock exchange,the return rates of national debt market price integrated index are found to be abnormal and with long memory properties.The empirical research also indicates that FIGARCH M(1,d,1)model can portray the undulation characteristic of the return rates well.