Analysis of Volatility in Shanghai and Shenzhen Stock Market Based on EC-EGARCH-M Model
Ming Ting Wu · Ruan kexue · 2010
This paper constructs market activity index,and puts them as explanatory variables in the conditional mean equation and the conditional variance equation together with the cointegrating residuals between Shanghai composite index and shenzhen composite index,thus develops EC-EGARCH-M model. Then it empirically analyzes the Shanghai composite index and Shenzhen composite index. Results show that market activity index and the cointegrating residuals are the two important explanatory variables for the conditional mean equation and the conditional variance equation; there are two-way volatility spillovers between shanghai and Shenzhen stock market,besides,there are characteristic of volatility clustering and asymmetry in two markets.