Volatility Forecasting during Stock Disaster in China A-share Stock Market

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Volatility Forecasting during Stock Disaster in China A-share Stock Market

This study explores the performance of volatility prediction models in Chinses stock market during stock market crash period. The index of interest is CSI 300 and the time interval employed ranges from 09/08/2007 to 19/12/2008 (2008 financial crisis) and from 12/06/2015 to 10/05/2016 (China stock ma...

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Bibliographic Details
Main Author:	BAO, JINGYI
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2018
Subjects:	volatility prediction Chinese stock market stock disaster
Online Access:	https://eprints.nottingham.ac.uk/53692/

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