Proceedings of the International Conference on Economic Management and Green Development (ICEMGD 2018)

Research on the Volatility of China's Stock Market Based on MCMC Algorithm

Authors
Wang Yu, Wang Hao
Corresponding Author
Wang Yu
Available Online September 2018.
DOI
https://doi.org/10.2991/icemgd-18.2018.32How to use a DOI?
Keywords
volatility analysis, MCMC algorithm, SV model.
Abstract
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.
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Proceedings
International Conference on Economic Management and Green Development (ICEMGD 2018)
Publication Date
September 2018
ISBN
978-94-6252-579-5
DOI
https://doi.org/10.2991/icemgd-18.2018.32How to use a DOI?
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
UR  - https://doi.org/10.2991/icemgd-18.2018.32
DO  - https://doi.org/10.2991/icemgd-18.2018.32
ID  - Yu2018/09
ER  -