| Article ID: | iaor2000239 |
| Country: | Netherlands |
| Volume: | 87 |
| Issue: | 1 |
| Start Page Number: | 141 |
| End Page Number: | 152 |
| Publication Date: | Apr 1999 |
| Journal: | Annals of Operations Research |
| Authors: | Xu Jiangang |
| Keywords: | developing countries, OR in a regioncountry |
There is considerable quantitative research on stock market volatility internationally, but little on China's emerging stock markets. Using Shanghai daily stock return data, this paper studies models for stock market volatility by comparing GARCH, EGARCH and GJR-GARCH models. We find that the GARCH model that accounts for time varying volatility is a suitable model.