China into 3 groups with different criteria. Then we build portfolios for these groups, by comparing the efficient frontier … performance with the full area. We test if this method in other parts of China, and the result shows this method could also work …

(GARCH) models, of differing lag and parameter terms, to forecast the variance of the market used in the denominator of the … squared forecast error (MSE) were used to compare the forecasting ability of the ex-ante GARCH models, Artificial Neural …

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China … the US to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2 …) evidence of unidirectional ARCH and GARCH effects from the US to the other three markets; (3) correlations of returns vary …

employed in a bivariate GARCH model, where the joint distribution of the disturbances is split into its marginals and its …-dependent distribution. -- value-at-risk ; copula ; non-normal bivariate GARCH ; asymmetric dependence ; profile likelihood-ratio test …

of ARCH effect has been tried to predict with conditional variance models such as ARCH (1), ARCH (2), ARCH (3), GARCH (1 …,1), GARCH (1,2), GARCH (1,3), GARCH (2,1), GARCH (2,2), EGARCH (1,1) and EGARCH (1,2). While the obtained findings indicate that … the best model is in the direction of GARCH (1,1) according to Akaike info criterion, it was found that GARCH (1,1) model …

the best fitting model among SGARCH, EGARCH and GJR-GARCH. In a bid to account for the dynamic and persistent nature of …