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Engle, R.F., Focardi, S.M. and Fabozzi, F.J. (2012) ARCH/GARCH Models in Applied Financial Econometrics. In: Fabozzi, F.J., Ed., Encyclopedia of Financial Models, Wiley, Hoboken, 359-374.

has been cited by the following article:

• TITLE: An Empirical Analysis of the Correlation of Agricultural Sectors in the Chinese Stock Market Based on the DCC-GARCH Model

  AUTHORS: Simin Wu, Zahayu Md. Yusof, Masnita Misiran

  KEYWORDS: DCC-GARCH Model, Chinese Stock Market, Stock Returns, Shanghai Composite Index, Agriculture

  JOURNAL NAME: Journal of Mathematical Finance, Vol.14 No.1, December 19, 2023

  ABSTRACT: The paper selects the daily trading data of three stocks in the agricultural sector of the Chinese stock market from 1st September 2015 to 31st August 2021. It uses the DCC-GARCH model to study the correlation between these stocks to examine the volatility and conductivity of their risks. The results show that the correlation between the Shanghai Composite Index and stocks of agriculture of China exhibits time-varying characteristics and dynamic. The fluctuations in correlation are large. This study fills the blank of comparative study on risk volatility and correlation between different stocks in the same stock market by using DCC-GARCH model.