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...
| Main Author: | |
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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/ |
| _version_ | 1848792907309383680 |
|---|---|
| author | Jin, Shan |
| author_facet | Jin, Shan |
| author_sort | Jin, Shan |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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 Security Market respectively covering 10 years period data from 01/01/2001 to 31/12/2010. Afterwards, using eight most popular models which are random walk (RW), historical mean model (HM), Simple Moving Average Model (MA), Exponential smoothing model (ES), Exponentially Weighted Moving Average (EWMA), GARCH (1, 1) along with its family models (i.e. Threshold-GARCH, Exponential-GARCH(1,1) forecast a seven months forecasting horizon at daily, weekly monthly frequency respectively for both series. Finally, accuracy of volatility forecasting of several of the methods are checked by Loss Functions, Diebold & Mariano, and Clarke-West.
Findings
Although MA model and EWMA perform well, unfortunately, no one can conclude a “best” volatility forecasting techniques consistently for both series cross different data frequency for China security market .Additional China security market presents leverage effect. |
| first_indexed | 2025-11-14T18:51:51Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-25035 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:51:51Z |
| publishDate | 2011 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-250352022-03-21T16:09:38Z https://eprints.nottingham.ac.uk/25035/ FORCASTING VOLATILITY ON CHINA EQUITY MARKET: Evidence from Shanghai and Shenzhen stock exchange at index level Jin, Shan 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 Security Market respectively covering 10 years period data from 01/01/2001 to 31/12/2010. Afterwards, using eight most popular models which are random walk (RW), historical mean model (HM), Simple Moving Average Model (MA), Exponential smoothing model (ES), Exponentially Weighted Moving Average (EWMA), GARCH (1, 1) along with its family models (i.e. Threshold-GARCH, Exponential-GARCH(1,1) forecast a seven months forecasting horizon at daily, weekly monthly frequency respectively for both series. Finally, accuracy of volatility forecasting of several of the methods are checked by Loss Functions, Diebold & Mariano, and Clarke-West. Findings Although MA model and EWMA perform well, unfortunately, no one can conclude a “best” volatility forecasting techniques consistently for both series cross different data frequency for China security market .Additional China security market presents leverage effect. 2011-09-20 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/25035/1/Shan_Jin_final_dissertation.pdf Jin, Shan (2011) FORCASTING VOLATILITY ON CHINA EQUITY MARKET: Evidence from Shanghai and Shenzhen stock exchange at index level. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Jin, Shan FORCASTING VOLATILITY ON CHINA EQUITY MARKET: Evidence from Shanghai and Shenzhen stock exchange at index level |
| title | FORCASTING VOLATILITY ON CHINA EQUITY
MARKET:
Evidence from Shanghai and Shenzhen stock exchange at index level |
| title_full | FORCASTING VOLATILITY ON CHINA EQUITY
MARKET:
Evidence from Shanghai and Shenzhen stock exchange at index level |
| title_fullStr | FORCASTING VOLATILITY ON CHINA EQUITY
MARKET:
Evidence from Shanghai and Shenzhen stock exchange at index level |
| title_full_unstemmed | FORCASTING VOLATILITY ON CHINA EQUITY
MARKET:
Evidence from Shanghai and Shenzhen stock exchange at index level |
| title_short | FORCASTING VOLATILITY ON CHINA EQUITY
MARKET:
Evidence from Shanghai and Shenzhen stock exchange at index level |
| title_sort | forcasting volatility on china equity
market:
evidence from shanghai and shenzhen stock exchange at index level |
| url | https://eprints.nottingham.ac.uk/25035/ |