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Please use this identifier to cite or link to this item: http://arks.princeton.edu/ark:/88435/dsp017w62fb57j
Title: The Predictability of Chinese Stock Market Volatility: An Analysis Using Non-linear GARCH Models
Authors: Lis, Jacqueline
Advisors: Zaidi, Iqbal
Department: Economics
Class Year: 2015
Abstract: This paper examines volatility forecasting for the Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Index as well as separate analysis for Shanghai and Shenzhen A- and B-share markets over various subsamples covering 1992-2014. Four GARCH processes that are popular in empirical finance and capture different stylized facts about financial time series are compared based on their ability to accurately forecast volatility. Despite an earlier conclusion that the GJR model is not useful in Chinese volatility modeling, the paper finds that the GARCH, GJR and NGARCHK models all perform relatively well for the markets examined. The GARCH-M model significantly underperforms. Results also suggest that the GJR and GARCH models systematically perform better at different times and that there is a difference in the way volatility should be modeled between A- and B-share markets, even over the same time period.
Extent: 53 pages
URI: http://arks.princeton.edu/ark:/88435/dsp017w62fb57j
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Economics, 1927-2016

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