FORCASTING VOLATILITY ON CHINA EQUITY MARKET: Evidence from Shanghai and Shenzhen stock exchange at index level
Abstract Purpose This paper focuses on comparing different models used in volatility forecasting and attempting to decide a “best” model for China’s security market. Design/methodology/approach Two investigated return series that are Shanghai Composite Index and Shenzhen Composite Index in China Se...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2011
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| Online Access: | https://eprints.nottingham.ac.uk/25035/ |