Date of Award
Master of Science
Lih Y Deng
Ebenezer O George
Dale Bowman Armstrong
Quentin C Chu
The CSI 300 index and SSE 180 index are studied in this thesis. The tests for the daily returns of CSI 300 index and SSE 180 index within a period of time indicate that the residual sequence of the returns show ARCH effect. Hence, GARCH and APARCH models and different error distributions were used in this thesis. After evaluating the model prediction results, we found that the APARCH models have better performance with accuracy and efficiency. So we reach the conclusion that the GARCH and APARCH models with the student’s t error distribution are more suitable for China’s stock market.
dissertation or thesis originally submitted to the local University of Memphis Electronic Theses & dissertation (ETD) Repository.
Chen, Li, "The Use of GARCH Class Models in Value-at-Risk Estimation for China Stock Market" (2014). Electronic Theses and Dissertations. 910.