Study on Asymmetric Volatility of China Stock Market
Rrn Biao · Shuxue de shijian yu renshi · 2004
Using three kinds of models of GARCH-M, this paper investigates asymmetric volatility of China stock market. The conclusion shows asymmetric volatility characteristic is exist significantly and different in different periods. Compared with three models, EGARCH-M model is most appropriate for description of asymmetric volatility of China stock market.