The 40th Anniversary of Shenzhen University and the 40th Anniversary of Mathematics Department

Liyuan scholar Colloquium forty-two

Lecture Title: Modeling Financial Volatility from ARCH and GARCH Models

Speaker: Prof. Yuan Li (Guangzhou University)

Lecture time: September 15, 2023 (Friday) 16:00-17:00

Lecture location: 514 Huixing Building, Yuehai Campus, Shenzhen University, China

Overview:Volatility is an important measure of financial risk. In practical applications, people often care about the timely volatility, i.e., the conditional volatility.As a simple conditional heteroskedastic volatility model, we first introduce its modeling methodology and the related statistical properties; secondly, we introduce the generalization of the ARCH model---GARCH model, EGARCH, GARCH-M model, IGARCH model, etc.; and then we Introduce the latest progress of variable coefficient GARCH model, including some of our own research results. Finally, we introduce the application of GARCH model in behavioral finance.

Speaker Introduction: Li Yuan, Ph.D., Professor and Doctoral Supervisor of Guangzhou University and Shenzhen Institute of Vocational Technology, received his Ph.D. degree from the Department of Probability Statistics of Peking University in 1998. He is currently the executive director of the Chinese Society of Educational Statistics, a member of the editorial board of Mathematical Statistics and Management, Applied Probability Statistics and Statistical Information Forum, and a member of the editorial committee of the National Statistical Textbook. He was the chairman of the Resource and Environment Statistics Branch of the China Field Statistics Research Association, the chairman of the Guangdong Field Statistics Association, the vice chairman of the National Industrial Statistics Teaching Research Association, and the executive director of the China Field Statistics Research Association. He has visited many universities and research institutes such as CSIRO, University of Notre Dame, University of Padua, Hong Kong Polytechnic University, Chinese University of Hong Kong, Hong Kong University of Science and Technology.

Prof. Yuan Li has been engaged in mathematical statistics and its applications for a long time, and his research interests include time series analysis, nonparametric statistics, financial statistics, risk management, etc. He has chaired 6 projects of the National Natural Science Foundation of China, 1 project of the Doctoral Foundation of the Ministry of Education, and 8 other projects. He has presided over 6 projects of the National Natural Science Foundation of China, 1 project of the Doctoral Foundation of the Ministry of Education, and 8 other scientific research projects. He has published 5 books and books in Biometrika, Journal of Econometrics, Statistica Sinica, Journal of Time Series Analysis, Computational Statistics and Data Analysis, Journal of Econometrics and Statistics. He has published more than 80 papers in authoritative journals at home and abroad, such as "Biometrika", "Journal of Econometrics", "Statistica Sinica", "Journal of Time Series Analysis", "Computational Statistics and Data Analysis", "Statistical Paper", "Science China Mathematics" and so on.

Teachers and students are welcome to participate!

School of Mathematical Sciences

September 12, 2023