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WU, WENQING (2014) The Investigation of Hong Kong and US Stock Markets Using GARCH Models. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

In this article, the main purpose is to model the volatility in Hong Kong and American market though GARCH (1, 1), TGARCH (1, 1), EGARCH (1, 1) and GARCH-M (1, 1) models separately. After the estimation, the within sample and out of sample test are applied to indentify the best fitting one. Different markets have different situations, thus fitting different models. When considering the relationships between these two markets, MGARCH model are used to evaluate them simultaneously. The results show that GARCH model can model and forecast both markets and the US market has strong effects on Hong Kong market. However, Hong Kong market does not have the same influence to America.

Item Type:	Dissertation (University of Nottingham only)
Depositing User:	EP, Services
Date Deposited:	07 Mar 2014 09:32
Last Modified:	19 Oct 2017 13:35
URI:	https://eprints.nottingham.ac.uk/id/eprint/26584

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