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- Title
Empirical volatility property study of Shanghai and Shenzhen 300 stock index based on nonparametric model.
- Authors
Yang Er-peng; Zhang De-sheng; Li Wen-jing; Shao Hui
- Abstract
The nonparametric model and estimated methods were given for researching forecased effect of the Shanghai and Shenzhen 300 stock index volatility, the model was established, which was estimated by polynomial spline estimation and local linear estimation. The forecasted effect of two estimation methods is preferably. the results shown that the estimated based on polynomial splines of non-parametric model is remarkably by comparatively.
- Subjects
NONPARAMETRIC statistics; MARKET volatility; STOCK price indexes; AUTOREGRESSION (Statistics); ESTIMATION theory; ECONOMIC forecasting
- Publication
Basic Sciences Journal of Textile Universities / Fangzhi Gaoxiao Jichu Kexue Xuebao, 2010, Vol 23, Issue 1, p42
- ISSN
1006-8341
- Publication type
Article