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Article
GARCH model, heavy tails and the Chinese stock market returns
SSRN Electronic Journal (2017)
  • Michael Day
  • Mark Diamond
Abstract
The Chinese stock market is one of the hottest stock market over the world. It 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
Summer May 4, 2017
Citation Information
Michael Day and Mark Diamond. "GARCH model, heavy tails and the Chinese stock market returns" SSRN Electronic Journal (2017)
Available at: http://works.bepress.com/zi-yi-guo/4/