JOURNAL OF BEIJING UNIVERSITY OF AERONAUTICS AND A ›› 2019, Vol. 32 ›› Issue (3): 57-65,79.DOI: 10.13766/j.bhsk.1008-2204.2017.0033

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Volatility Analysis of Chinese Stock Market Based on Time-varying Long-memory and Leverage effe

WANG Juan1, LI Rui2   

  1. 1. School of Economic and Management, Beijing University of Aeronautics and Astronautics, Beijing 100083, China;
    2. Business School, Beijing Normal University, Beijing 100875, China
  • Received:2017-02-21 Online:2019-05-25 Published:2019-06-03

Abstract:

For the purpose of more comprehensive description of Chinese stock market volatility, using the data of Shanghai composite index and Shenzhen component index from January 12th, 2001 to December 23rd, 2016, the paper analyzed the volatility of Chinese stock markets with the MRS-APGARCH model. The results indicate that the two markets often act with three volatility states and the probability of mild violating is the highest. Volatility of stock returns has time-varying long memory and leverage effect. Compared with other literature, the paper improves the estimation of parameters. Empirical findings are of great importance for construction of risk defense system.

Key words: Chinese Stock Market, MRS-APGARCH Model, long memory, leverage effect, volatility of stock returns, risk defense system

CLC Number: