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Economic Research-Ekonomska Istraživanja Volume 35, 2022 - Issue 1
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Articles

Volatility analysis based on GARCH-type models: Evidence from the Chinese stock market

Yuling Wanga School of Economics, South-Central University for Nationalities, Wuhan, China;b Hubei Moderately Prosperous Society in all respects Construction Research Institute, South-Central University for Nationalities, Wuhan, China
,
Yunshuang Xianga School of Economics, South-Central University for Nationalities, Wuhan, China
,
Xinyu Leia School of Economics, South-Central University for Nationalities, Wuhan, ChinaCorrespondence[email protected]
&
Yucheng Zhoua School of Economics, South-Central University for Nationalities, Wuhan, China
Pages 2530-2554 | Received 16 May 2021, Accepted 09 Aug 2021, Published online: 28 Aug 2021

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Lithin B M, Suman Chakraborty, Vishwanathan Iyer, Nikhil M N & Sanket Ledwani. (2023) Modelling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India. Cogent Economics & Finance 11:1.
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Zhenlong Chen & Shang Jin. (2023) Modelling returns volatility: mixed-frequency model based on momentum of predictability. Economic Research-Ekonomska Istraživanja 36:1.
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Danni Wang, Zhifang Su & Qifang Li. (2023) Intraday volatility analysis of CSI 300 index futures: a dependent functional data method. Economic Research-Ekonomska Istraživanja 36:1, pages 312-332.
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Jia Wang, Xinzhu Yan, Yuan Cao & Xu Wang. Multi-scale dependence and risk contagion among international financial markets based on VMD-Vine copula-CoVaR. Applied Economics 0:0, pages 1-20.
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Articles from other publishers (11)

Francisco Pérez-Hernández, Alvaro Arévalo-de-Pablos & María-del-Mar Camacho-Miñano. (2024) A hybrid model integrating artificial neural network with multiple GARCH-type models and EWMA for performing the optimal volatility forecasting of market risk factors. Expert Systems with Applications 243, pages 122896.
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Danai Likitratcharoen & Lucksuda Suwannamalik. (2024) Assessing Financial Stability in Turbulent Times: A Study of Generalized Autoregressive Conditional Heteroskedasticity-Type Value-at-Risk Model Performance in Thailand’s Transportation Sector during COVID-19. Risks 12:3, pages 51.
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Sabri Burak Arzova, Ayben Koy & Bertaç Şakir Şahin. (2023) The impact of unproved reserve news on the energy stock volatility: an empirical investigation on Turkey. Review of Behavioral Finance 16:1, pages 112-129.
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Bao Quoc Ta & Nguyen H. Q. Khai. (2024) Portfolio Optimization Based on Artificial Neural Network and GARCH-EVT-Copula Models. International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems 31:Supp02, pages 289-306.
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Edosa Getachew Taera, Budi Setiawan, Adil Saleem, Andi Sri Wahyuni, Daniel K.S. Chang, Robert Jeyakumar Nathan & Zoltan Lakner. (2023) The impact of Covid-19 and Russia–Ukraine war on the financial asset volatility: Evidence from equity, cryptocurrency and alternative assets. Journal of Open Innovation: Technology, Market, and Complexity 9:3, pages 100116.
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Linna Lu, Yalin Lei, Yang Yang, Haoqi Zheng, Wen Wang, Yan Meng, Chunhong Meng & Liqiang Zha. (2023) Assessing nickel sector index volatility based on quantile regression for Garch and Egarch models: Evidence from the Chinese stock market 2018–2022. Resources Policy 82, pages 103563.
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Longsheng Cheng, Mahboubeh Shadabfar & Arash Sioofy Khoojine. (2023) A State-of-the-Art Review of Probabilistic Portfolio Management for Future Stock Markets. Mathematics 11:5, pages 1148.
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Olivera Mijailović & Vule Mizdraković. (2023) Behavioural finance: Testing the efficient market hypothesis on the Belgrade stock exchange. The European Journal of Applied Economics 20:1, pages 1-21.
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Olena Liashenko & Kateryna Molokanova. (2023) ANALYSIS AND FORECASTING OF THE RETURN OF MICROSOFT AND PFIZER SHARES USING ARIMA-GARCH MODELS. Bulletin of Taras Shevchenko National University of Kyiv. Economics:222, pages 76-87.
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Namchok Chimprang, Woraphon Yamaka & Nattakit Intawong. 2023. Integrated Uncertainty in Knowledge Modelling and Decision Making. Integrated Uncertainty in Knowledge Modelling and Decision Making 258 270 .
Hakan Altin. (2022) Volatility Analysis in International Indices. International Journal of Sustainable Economies Management 11:1, pages 1-17.
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