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Article
GARCH model and fat tails of the Chinese stock market returns - New evidences
Journal of Risk & Control (2017)
  • Michael Day
  • Mark Diamond
  • Jeff Card
  • Jake Hurd
  • Jianping Xu
Abstract
The Chinese stock market is unique in which it is moved more by individual retail
investors than institutional investors. Therefore, for economic and political stability it is
more important to efficiently manage the risk of the Chinese stock market. We investigate
its volatility dynamics through the GARCH model with three types of heavy-tailed
distributions, the Student’s t, the NIG and the NRIG distributions. Our results show that
estimated parameters for all the three types of distributions are statistical significant and
the NIG distribution has the best empirical performance in fitting the Chinese stock
market index returns.
Publication Date
Fall July 1, 2017
Citation Information
Michael Day, Mark Diamond, Jeff Card, Jake Hurd, et al.. "GARCH model and fat tails of the Chinese stock market returns - New evidences" Journal of Risk & Control (2017)
Available at: http://works.bepress.com/zi-yi-guo/3/