The Predictive Analysis of Concept Stock Yield Based on GAS Model
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DOI: 10.25236/icebfm.2019.116
Corresponding Author
Ding Qiang
Abstract
The newly-developing Generalized Autoregressive Score(GAS) model can conduct modeling for the mean and volatility of three internet financial concept stocks—Eastmoney, Toocle and Hundsun. By combining with the descriptive statistical analysis, it can be observed that the return series has the typical abnormality of sharp peak and heavy tail. Moreover, the return series is smooth and steady. The time-varying characteristic of volatility is significant. There is the strong correlation and linkage features in the return series. In the future, predictive analysis of earnings and volatility is further conducted, so as to provide the reference information for improving Jiangsu Internet Finance Market, especially for China, greatly control market risks and stabilize the market.
Keywords
GAS, internet finance, yield, mean, volatility