Article ID Journal Published Year Pages File Type
963400 Journal of International Financial Markets, Institutions and Money 2013 21 Pages PDF
Abstract
► We model the volatility of the Chinese stock markets by a generalized additive nonparametric smoothing approach. ► We investigate the asymmetry effects of shocks in the Chinese stock markets volatility. ► An asymmetric effect of negative news exists in the Chinese stock markets. ► A minimum amount of good news is required for the Chinese markets to remain calm. ► The generalized additive nonparametric model significantly outperforms the parametric models for Chinese stock volatility forecasts.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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