Analysis on Stochastic Volatility Models and Their Applications in Shanghai Stock Exchange
Su Wei · Systems Enging-theory Methodology Application · 2001
Stochastic volatility (SV) models come into being because of mathematic financial issues and financial econometric issues; they can describe the typical facts in financial markets very well. Fitting the daily returns series of Shanghai exchange indices with basic SV model, a few useful results are obtained. Some suggestions on future work are also discussed in the end.