Electronic Theses and Dissertations

Identifier

1074

Author

Li Chen

Date

2014

Date of Award

4-22-2014

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.

Comments

Data is provided by the student.

Library Comment

dissertation or thesis originally submitted to the local University of Memphis Electronic Theses & dissertation (ETD) Repository.

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