Electronic Theses and Dissertations
Identifier
1074
Date
2014
Document Type
Thesis
Degree Name
Master of Science
Major
Mathematical Sciences
Concentration
Statistics
Committee Chair
Lih Y Deng
Committee Member
Ebenezer O George
Committee Member
Dale Bowman Armstrong
Committee Member
Quentin C Chu
Abstract
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.
Library Comment
Dissertation or thesis originally submitted to the local University of Memphis Electronic Theses & dissertation (ETD) Repository.
Recommended Citation
Chen, Li, "The Use of GARCH Class Models in Value-at-Risk Estimation for China Stock Market" (2014). Electronic Theses and Dissertations. 910.
https://digitalcommons.memphis.edu/etd/910
Comments
Data is provided by the student.