Journal of Applied Science and Engineering

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Shuang Jin1, Wei Chong Choo1This email address is being protected from spambots. You need JavaScript enabled to view it., Matemilola Bolaji Tunde1, Yuxing Liu1, Yijie Wang1, and Wan Cheong Kin2

1School of Business and Economics, Universiti Putra Malaysia, 43400 Seri Kembangan, Selangor, Malaysia

2Department of Economics and Corporate Administration, Faculty of Accountancy, Finance and Business, Tunku Abdul Rahman University of Management and Technology (TARUMT)



Received: November 10, 2023
Accepted: December 12, 2023
Publication Date: April 14, 2024

 Copyright The Author(s). This is an open access article distributed under the terms of the Creative Commons Attribution License (CC BY 4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are cited.

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Chinese stock market is of great importance in promoting the healthy development of national economy and world economic integration. Effectively preventing risks and ensuring the safe and stable operation of the stock market is particularly crucial, which urgently needs to accurately depict the stock market volatility characteristics. Previous studies have overlooked the possible disturbances, which may cause the deviation of models with time-varying coefficients but constant volatility. For addressing this issue, this paper proposes to assume random volatilities via TVP-VAR (Time-Varying Parameter Vector AutoRegression) model estimated by MCMC (Markov Chain Monte Carlo) method. Benefited from accurately estimating and predicting, this paper provides a comprehensive interpretation of volatility effects of Chinese stock market. This paper has the important reference value for financial regulatory authorities and market investors.

Keywords: Stock market; TVP-VAR model; Stock market volatility; Macroeconomic variables; Stochastic volatility

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