Morimune, “A modified GARCH model with spells of shocks
- Q. Liu
- Asia Pacific Financial Markets,
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.