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Economic Dynamics and Sustainable Development – Resources, Factors, Structures and Policies

Proceedings ESPERA 2015 – Part 1 and Part 2

Luminita Chivu, Constantin Ciutacu, Valeriu Ioan-Franc and Jean-Vasile Andrei

The book is dedicated to the 150th anniversary of the Romanian Academy. It contains the most valuable 100 papers presented at the International Conference «Economic Scientific Research – Theoretical, Empirical and Practical Approaches» (ESPERA 2015). The event is initiated annually by the National Institute for Economic Research «Costin C. Kirițescu» of the Romanian Academy. ESPERA aim to present and evaluate the economic scientific research portfolio as well as to argue and substantiate development strategies, including European and global best practices. ESPERA intend to become a scientific support for the conceptualization and the establishment of policies and strategies and to provide a systematic, permanent, wide and challenging dialogue within the European area of economic and social research.

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Volatility Analysis of Shanghai Composite Index and Financial Crises (Muhammad Sheraz / Silvia Dedu / Vasile Preda)


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Muhammad Sheraz1, Silvia Dedu2 & Vasile Preda3,4

Volatility Analysis of Shanghai Composite Index and Financial Crises

Abstract: The aim of this paper is to analyze the stock market volatility during the recent financial crises of 2015 and global financial crises of 2007–2008, using GARCH models and an entropic approach. Recently, the interest dedicated to the topic of stock market volatility has grown very rapidly. In the Black-Scholes option pricing model, volatility is a constant function, where trading option is indeed risky due to random components, such as volatility. The concept of non constant volatility was introduced in the concept of GARCH processes. We consider the case of Shanghai composite index to present the volatility analysis and modeling for daily returns corresponding to the time horizon of 2007–2008 and the year 2015. We use the entropic approach to compare the randomness of the underlying index.

Keywords: Option pricing; Black-Scholes model; GARCH processes; volatility; entropy measures.

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