SV Forecast of Shenzhen Stock Exchanges
Xizhi Wu · Journal of Shanxi Finance and Economics University · 2004
This is an initial introduction of basic stochastic volatility (SV) model and asymmetric volatility (ASV) model in the forecast of Shenzhen Stock Exchanges. Based on the symmetry-asymmetry principle, the comparison shows us a declining performance in market forecasting with SV being the best, ASV less effective and GARCH, which is a commonly used method in forecasting, the least.