The Investigation of Hong Kong and US Stock Markets Using GARCH Models
In this article, the main purpose is to model the volatility in Hong Kong and American market though GARCH (1, 1), TGARCH (1, 1), EGARCH (1, 1) and GARCH-M (1, 1) models separately. After the estimation, the within sample and out of sample test are applied to indentify the best fitting one. Differen...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2014
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| Online Access: | https://eprints.nottingham.ac.uk/26584/ |
| _version_ | 1848793202678562816 |
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| author | WU, WENQING |
| author_facet | WU, WENQING |
| author_sort | WU, WENQING |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | In this article, the main purpose is to model the volatility in Hong Kong and American market though GARCH (1, 1), TGARCH (1, 1), EGARCH (1, 1) and GARCH-M (1, 1) models separately. After the estimation, the within sample and out of sample test are applied to indentify the best fitting one. Different markets have different situations, thus fitting different models. When considering the relationships between these two markets, MGARCH model are used to evaluate them simultaneously. The results show that GARCH model can model and forecast both markets and the US market has strong effects on Hong Kong market. However, Hong Kong market does not have the same influence to America. |
| first_indexed | 2025-11-14T18:56:33Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-26584 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:56:33Z |
| publishDate | 2014 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-265842017-10-19T13:35:25Z https://eprints.nottingham.ac.uk/26584/ The Investigation of Hong Kong and US Stock Markets Using GARCH Models WU, WENQING In this article, the main purpose is to model the volatility in Hong Kong and American market though GARCH (1, 1), TGARCH (1, 1), EGARCH (1, 1) and GARCH-M (1, 1) models separately. After the estimation, the within sample and out of sample test are applied to indentify the best fitting one. Different markets have different situations, thus fitting different models. When considering the relationships between these two markets, MGARCH model are used to evaluate them simultaneously. The results show that GARCH model can model and forecast both markets and the US market has strong effects on Hong Kong market. However, Hong Kong market does not have the same influence to America. 2014 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/26584/1/wuwenqing.pdf WU, WENQING (2014) The Investigation of Hong Kong and US Stock Markets Using GARCH Models. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | WU, WENQING The Investigation of Hong Kong and US Stock Markets Using GARCH Models |
| title | The Investigation of Hong Kong and US Stock Markets Using GARCH Models |
| title_full | The Investigation of Hong Kong and US Stock Markets Using GARCH Models |
| title_fullStr | The Investigation of Hong Kong and US Stock Markets Using GARCH Models |
| title_full_unstemmed | The Investigation of Hong Kong and US Stock Markets Using GARCH Models |
| title_short | The Investigation of Hong Kong and US Stock Markets Using GARCH Models |
| title_sort | investigation of hong kong and us stock markets using garch models |
| url | https://eprints.nottingham.ac.uk/26584/ |