About: Estimating volatilities by the GARCH and the EWMA model of PetroChina and TCL in the stock exchange market of China

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About: Estimating volatilities by the GARCH and the EWMA model of PetroChina and TCL in the stock exchange market of China Goto Sponge NotDistinct Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdfs:seeAlso	http://www.ekf.vsb.cz/export/sites/ekf/konference/cs/rmfr/sbornik/dokumenty/Guo.Haochen.pdf
Description	Volatility is an important parameter for financial risk management and it is applied in many issues such as option pricing, portfolio optimization, VaR methodology and hedging, thus the forecasting of volatility or variance can be regarded as a problem of financial modeling. In this paper, it will estimate the volatility use the historical approach and applying the GRACH model and the EWMA model in the same stock data of PetroChina and TCL on the Shanghai and Shenzhen Stock Exchange Market of China, it will use the result of mean square error to shows which is better model to calculation of assets. Volatility is an important parameter for financial risk management and it is applied in many issues such as option pricing, portfolio optimization, VaR methodology and hedging, thus the forecasting of volatility or variance can be regarded as a problem of financial modeling. In this paper, it will estimate the volatility use the historical approach and applying the GRACH model and the EWMA model in the same stock data of PetroChina and TCL on the Shanghai and Shenzhen Stock Exchange Market of China, it will use the result of mean square error to shows which is better model to calculation of assets. (en)
Title	Estimating volatilities by the GARCH and the EWMA model of PetroChina and TCL in the stock exchange market of China Estimating volatilities by the GARCH and the EWMA model of PetroChina and TCL in the stock exchange market of China (en)
skos:prefLabel	Estimating volatilities by the GARCH and the EWMA model of PetroChina and TCL in the stock exchange market of China Estimating volatilities by the GARCH and the EWMA model of PetroChina and TCL in the stock exchange market of China (en)
skos:notation	RIV/61989100:27510/12:86087225!RIV14-MSM-27510___
http://linked.open...avai/predkladatel	Ekonomická fakulta
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Guo, Haochen
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	134773
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/12:86087225
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Volatility, EWMA model, GARCH model, maximum likelihood methods, mean square error, VaR (en)
http://linked.open.../riv/klicoveSlovo	mean square error Volatility VaR EWMA model GARCH model maximum likelihood methods
http://linked.open...ontrolniKodProRIV	[8035A657346C]
http://linked.open...v/mistoKonaniAkce	Ostrava
http://linked.open...i/riv/mistoVydani	Ostrava
http://linked.open...i/riv/nazevZdroje	Řízení a modelování finančních rizik : sborník příspěvků z 6. mezinárodní vědecké konference : 10.-11. září 2012, Ostrava, Česká republika
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
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http://linked.open...UplatneniVysledku	2012
http://linked.open...iv/tvurceVysledku	Guo, Haochen
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open...ain/vavai/riv/wos	000317528600021
http://linked.open.../riv/zahajeniAkce	2012-09-10 (xsd:date)
number of pages	12 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Vysoká škola báňská - Technická univerzita Ostrava
https://schema.org/isbn	978-80-248-2835-0
http://localhost/t...ganizacniJednotka	27510

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