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Chinese Journal of Management Science ›› 2002, Vol. ›› Issue (6): 27-30.

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Research on the Persistence of Financial Volatility

FAN Zhi, ZHANG Shi-ying   

  1. School of Management, Tianjin University, Tianjin 300072, China
  • Received:2002-05-15 Online:2002-12-28 Published:2012-03-06

Abstract: The paper uses the fractal market theory to analyze the volatility of financial markets,and discusses the persistence and copersistence in variance.The paper also studies the volatility and persistence of VaR.In the end,the paper gives the modeling demonstrations of Chinese stock markets.

Key words: financial volatility, fractal market, persistence and copersistence in variance, Value at Risk

CLC Number: