Estimating volatilities by the GARCH and the EWMA model of PetroChina and TCL in the stock exchange market of China

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86087225" target="_blank" >RIV/61989100:27510/12:86087225 - isvavai.cz</a>
Result on the web
<a href="http://www.ekf.vsb.cz/export/sites/ekf/konference/cs/rmfr/sbornik/dokumenty/Guo.Haochen.pdf" target="_blank" >http://www.ekf.vsb.cz/export/sites/ekf/konference/cs/rmfr/sbornik/dokumenty/Guo.Haochen.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Estimating volatilities by the GARCH and the EWMA model of PetroChina and TCL in the stock exchange market of China
Original language description
Volatility is an important parameter for financial risk management and it is applied in many issues such as option pricing, portfolio optimization, VaR methodology and hedging, thus the forecasting of volatility or variance can be regarded as a problem of financial modeling. In this paper, it will estimate the volatility use the historical approach and applying the GRACH model and the EWMA model in the same stock data of PetroChina and TCL on the Shanghai and Shenzhen Stock Exchange Market of China, itwill use the result of mean square error to shows which is better model to calculation of assets.
Czech name
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Czech description
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Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Řízení a modelování finančních rizik : sborník příspěvků z 6. mezinárodní vědecké konference : 10.-11. září 2012, Ostrava, Česká republika
ISBN
978-80-248-2835-0
ISSN
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e-ISSN
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Number of pages
12
Pages from-to
191-202
Publisher name
VŠB - Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 10, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000317528600021

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