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ASME Press Select Proceedings

International Conference on Information Technology and Computer Science, 3rd (ITCS 2011)

Editor
V. E. Muhin
V. E. Muhin
National Technical University of Ukraine
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W. B. Hu
W. B. Hu
Wuhan University
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ISBN:
9780791859742
No. of Pages:
656
Publisher:
ASME Press
Publication date:
2011

In this paper, markov regime switching model of the correlations for EGARCH model is proposed in fund markets. In the model ,the covariance is decomposed into standard deviations and correlations .The variance is described with the EGARCH(1,1) and the correlation matrix divided into the two different regimes. Finally, the model is applied the fund market in China to study the dynamic correlation of close-end fund. Empirical results show that the two regimes reflect high and low correlation, and the probability of the continuance of the regime is comparatively large.

Abstract
Keywords
I. Introduction
II. The Regime Switching Dynamic Correlation Model
III. Application
IV. Conclusion
References
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