Research on the Volatility of China's Stock Market Based on MCMC Algorithm
Wang Yu, Wang Hao
Available Online September 2018.
- https://doi.org/10.2991/icemgd-18.2018.32How to use a DOI?
- volatility analysis, MCMC algorithm, SV model.
- Financial time series contains information on market changes and investment risk fluctuations. This paper aims to study the volatility of China's stock market by analyzing the time series of Chinese stock market returns. We choose the closing price of the Shanghai and Shenzhen close index as a sample. To analyze the statistical characteristics of the time series, we choose the SV-MN model in the SV model family by MCMC algorithm based on Gibbs sampling to estimate the basic characteristics of the stock market volatility. Through research, we find that China's stock market has the characteristics of agglomeration, volatility persistence and Leptokurtosis. We analyze these characteristics and specific market reasons to provide financial and securities service industries with relevant recommendations to stabilizing the market.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Wang Yu AU - Wang Hao PY - 2018/09 DA - 2018/09 TI - Research on the Volatility of China's Stock Market Based on MCMC Algorithm BT - International Conference on Economic Management and Green Development (ICEMGD 2018) PB - Atlantis Press SP - 186 EP - 193 SN - 2352-5428 UR - https://doi.org/10.2991/icemgd-18.2018.32 DO - https://doi.org/10.2991/icemgd-18.2018.32 ID - Yu2018/09 ER -