A Modified GJR-GARCH Model with Information Disseminating Speed

Abstract

In this paper, the efficiency of speculative market incorporating new information into price is analyzed and discussed. The GJR-GARCH model is modified to capture the effect of information disseminating speed on the conditional volatility of stock index returns. Different empirical results have been gotten when the new model is applied to Shanghai Shcomp and Dow Jones indices. It is indicated that the reason of this difference is different microstructures of Shanghai and New York stock markets.

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Cite this paper

@article{Zhao2007AMG, title={A Modified GJR-GARCH Model with Information Disseminating Speed}, author={Guo Qing Zhao and Jun Wei}, journal={2007 International Conference on Computational Intelligence and Security Workshops (CISW 2007)}, year={2007}, pages={592-595} }