Proceedings of the 2nd International Conference on Mathematical Statistics and Economic Analysis, MSEA 2023, May 26–28, 2023, Nanjing, China

Research Article

Comparative Analysis of Stock Indexes Based on GARCH Family Model under GED Distribution

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  • @INPROCEEDINGS{10.4108/eai.26-5-2023.2334463,
        author={Chuanling  Zhao and Ruilin  Han and Hao  Liu},
        title={Comparative Analysis of Stock Indexes Based on GARCH Family Model under GED Distribution},
        proceedings={Proceedings of the 2nd International Conference on Mathematical Statistics and Economic Analysis, MSEA 2023, May 26--28, 2023, Nanjing, China},
        publisher={EAI},
        proceedings_a={MSEA},
        year={2023},
        month={7},
        keywords={garch family model; ged distribution; value at risk},
        doi={10.4108/eai.26-5-2023.2334463}
    }
    
  • Chuanling Zhao
    Ruilin Han
    Hao Liu
    Year: 2023
    Comparative Analysis of Stock Indexes Based on GARCH Family Model under GED Distribution
    MSEA
    EAI
    DOI: 10.4108/eai.26-5-2023.2334463
Chuanling Zhao1,*, Ruilin Han1, Hao Liu1
  • 1: College of Mathematical Sciences
*Contact email: 2827365593@qq.com

Abstract

This paper selects the K-line closing prices of Shanghai stock composite index, Shenzhen stock composite index and including convertible bond index from September 1,2021 to October 31,2022.We establish the GARCH family models based on the generalized error distribution, and compare the returns and risks of the including convertible bond index, SSE composite index and SZSE composite index. The study shows that the stock returns and risks of companies with convertible bonds have a significant impact. The result shows that the stock of companies with convertible bonds has a special sense of “high return, low risk”.