文献类型：期刊文献

英文题名：New volatility evolution model after extreme events

作者：Cai, Mei-Ling[1];Chen, Zhang-HangJian[1,2];Li, Sai-Ping[3,4];Xiong, Xiong[5,6];Zhang, Wei[5,6];Yang, Ming-Yuan[7];Ren, Fei[1,8]

机构：[1]East China Univ Sci & Technol, Sch Business, 130 Meilong Rd, Shanghai 200237, Peoples R China;[2]Anhui Univ, Sch Econ, Hefei 230601, Anhui, Peoples R China;[3]Acad Sinica, Inst Phys, Taipei 115, Taiwan;[4]Hong Kong Univ Sci & Technol, Dept Phys, Kowloon, Clear Water Bay, Hong Kong, Peoples R China;[5]Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China;[6]Tianjin Univ, China Ctr Social Comp & Analyt, Tianjin 300072, Peoples R China;[7]Zhejiang Univ Finance & Econ, China Acad Financial Res, 8 Xueyuan Rd, Hangzhou 310018, Zhejiang, Peoples R China;[8]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China

年份：2022

卷号：154

外文期刊名：CHAOS SOLITONS & FRACTALS

收录：;EI(收录号：20215011309664);WOS:【SSCI(收录号:WOS:000790529200017)，SCI-EXPANDED(收录号:WOS:000790529200017)】；

基金：This work was partially supported by the National Natural Science Foundation (Nos. 71790594 and 71871094), the Humanities and Social Sciences Fund sponsored by Ministry of Education of the People's Republic of China (No. 17YJAZH067), and the Fundamental Research Funds for the Central Universities (No. JKN02212304).

语种：英文

外文关键词：Volatility evolution; Extreme events; Volatility modelling; Dynamic models

摘要：In this paper, we propose a new dynamical model to study the two-stage volatility evolution of stock market index after extreme events, and find that the volatility after extreme events follows a stretched exponential decay in the initial stage and becomes a power law decay at later times by using high fre-quency minute data. Empirical study of the evolutionary behaviors of volatility after endogenous and exogenous events further demonstrates the descriptive power of our new model. To further explore the underlying mechanisms of volatility evolution, we introduce the sequential arrival of information hypoth-esis (SAIH) and the mixture of distribution hypothesis (MDH) to test the two-stage assumption, and find that investors transform from the uninformed state to the informed state in the first stage and informed investors subsequently dominate in the second stage. The testing results offer a supporting explanation for the validity of our new model and the fitted values of relevant parameters.(c) 2021 Elsevier Ltd. All rights reserved.