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