Using GARCH family models estimate the volatility of SSE 50ETF

Yuanyuan Luo

doi:10.1117/12.2671961

28 March 2023 Using GARCH family models estimate the volatility of SSE 50ETF

Yuanyuan Luo

Proceedings Volume 12597, Second International Conference on Statistics, Applied Mathematics, and Computing Science (CSAMCS 2022); 1259727 (2023) https://doi.org/10.1117/12.2671961
Event: Second International Conference on Statistics, Applied Mathematics, and Computing Science (CSAMCS 2022), 2022, Nanjing, China

Abstract

This paper empirically analyzes the volatility of SSE 50 Index ETF based on GARCH family model. GAECH(1,1), EGARCH(1,1), GJR-GARCH (1,1) and APARCH(1,1) models are used to estimate the daily return rate of SSE50 ETF, and AIC and RMSE statistical measures are used to evaluate the estimation results. The data ranges from 24th February 2005 to 29th August 2022. The results show that the EGARCH(1.1) and APARCH(1,1) models are more appropriate, and the volatility of SSE 50ETF has significant asymmetry, leverage effect and power function effect. At the same time, the volatility of SSE 50 ETF has a long and strong memory ability, and its response ability to new information is weak.

Citation Download Citation

Yuanyuan Luo "Using GARCH family models estimate the volatility of SSE 50ETF", Proc. SPIE 12597, Second International Conference on Statistics, Applied Mathematics, and Computing Science (CSAMCS 2022), 1259727 (28 March 2023); https://doi.org/10.1117/12.2671961

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