Xie, Shiqing; Huang, Xichen - In: Emerging Markets Finance and Trade 49 (2013) S4, pp. 150-162
This paper applies a set of GARCH models to investigate the three characteristics, including time persistence, leverage effect, and risk premium, of the volatilities of the four China Securities Index (CSI) fund indices. This study made the following four findings: (1) a strong ARCH effect...
