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Using GARCH family models estimate the volatility of SSE 50ETF

Luo, Yuanyuan (2023) Using GARCH family models estimate the volatility of SSE 50ETF. In: Dai, Wanyang and Jin, Shi, (eds.) Second International Conference on Statistics, Applied Mathematics, and Computing Science, CSAMCS 2022. Proceedings of SPIE - The International Society for Optical Engineering. Society of Photo-optical Instrumentation Engineers. ISBN 9781510663183

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Identification Number: 10.1117/12.2671961

Abstract

This paper empirically analyzes the volatility of SSE 50 Index ETF based on GARCH family model. GAECH(1,1), EGARCH(1,1), GJR-GARCH (1,1) and APARCH(1,1) models are used to estimate the daily return rate of SSE50 ETF, and AIC and RMSE statistical measures are used to evaluate the estimation results. The data ranges from 24th February 2005 to 29th August 2022. The results show that the EGARCH(1.1) and APARCH(1,1) models are more appropriate, and the volatility of SSE 50ETF has significant asymmetry, leverage effect and power function effect. At the same time, the volatility of SSE 50 ETF has a long and strong memory ability, and its response ability to new information is weak.

Item Type: Book Section
Additional Information: © 2023 SPIE.
Divisions: Statistics
Subjects: Q Science > QA Mathematics
Q Science > QA Mathematics > QA75 Electronic computers. Computer science
T Technology > TK Electrical engineering. Electronics Nuclear engineering
Date Deposited: 02 Jun 2023 23:06
Last Modified: 26 Nov 2023 00:36
URI: http://eprints.lse.ac.uk/id/eprint/119331

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