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An Analysis of Return Volatility Based on the Data of Supermarket

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2 Author(s)
Biao Ren ; Sch. of Math. & Stat., Hebei Univ. of Econ. & Trade, Shijiazhuang ; Lin Chang

This paper mainly studies the return volatility of supermarket by using EGARCH-M, a model that is applied widely in stock markets. The result indicates that the commodities' returns of the supermarket have the leverage effect, i.e. the impact of bad news on volatility is more than that of good news. This conclusion is consistent with stock market

Published in:
Machine Learning and Cybernetics, 2006 International Conference on

Date of Conference: 13-16 Aug. 2006

Page(s):
3385 - 3388
Print ISBN:
1-4244-0061-9
INSPEC Accession Number:
9155526
Conference Location :
Dalian, China
Digital Object Identifier :
10.1109/ICMLC.2006.258499
Product Type:
Conference Publications

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