By using the asymmetric GARCH model, this paper tests for the asymmetry in the conditional volatility of stock day's turn of Shanghai stock market. By analyzing the news impact curve, we find that there is significant volatility asymmetry. The stock market volatility responds in different ways to economic policy and updated information. The roles played by good news to stock market is also needed the ordinations of other market interruptions.
刘金全, 于冬, 崔畅. 中国股票市场的信息反应曲线和股票价格波动的非对称性[J]. J4, 2006, 3(3): 262-.
LIU Jin-Quan, YU Dong, CUI Chang. News Impact Curves and Tests for the Asymmetry of Stock Price Volatility in China Stock Market. J4, 2006, 3(3): 262-.