Application of MRS-GARCH model in volatility estimation of China's stock market

DOI10.16360/J.CNKI.JBNUNS.2015.05.010MaRDI QIDQ2992601zbMATH OpenOpenAlexFDO

Authors Juan Wang, Rui Li

Publication date 10 August 2016

Full work available at URL http://or.nsfc.gov.cn/bitstream/00001903-5/360252/1/1000014162882.pdf

zbMATH Keywords

EM algorithmmaximum likelihood estimationGibbs samplingMRS-GARCH modelvolatility of stock market

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(2)

• Application of autoregressive tail-index model to China's stock market
• ESTIMATING BIVARIATE GARCH-JUMP MODEL BASED ON HIGH FREQUENCY DATA: THE CASE OF REVALUATION OF THE CHINESE YUAN IN JULY 2005

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