id	sid	tid	token	lemma	pos
fbem-634	1	1	frontiers	frontier	NOUN
fbem-634	1	2	in	in	ADP
fbem-634	1	3	business	business	NOUN
fbem-634	1	4	,	,	PUNCT
fbem-634	1	5	economics	economic	NOUN
fbem-634	1	6	and	and	CCONJ
fbem-634	1	7	management	management	NOUN
fbem-634	1	8	issn	issn	PROPN
fbem-634	1	9	:	:	PUNCT
fbem-634	1	10	2766	2766	NUM
fbem-634	1	11	-	-	PUNCT
fbem-634	1	12	824x	824x	NUM
fbem-634	1	13	|	|	ADJ
fbem-634	1	14	vol	vol	NOUN
fbem-634	1	15	.	.	PROPN
fbem-634	2	1	4	4	NUM
fbem-634	2	2	,	,	PUNCT
fbem-634	2	3	no	no	INTJ
fbem-634	2	4	.	.	NOUN
fbem-634	2	5	2	2	NUM
fbem-634	2	6	,	,	PUNCT
fbem-634	2	7	2022	2022	NUM
fbem-634	2	8	43	43	NUM
fbem-634	2	9	research	research	NOUN
fbem-634	2	10	on	on	ADP
fbem-634	2	11	the	the	DET
fbem-634	2	12	volatility	volatility	NOUN
fbem-634	2	13	characteristics	characteristic	NOUN
fbem-634	2	14	of	of	ADP
fbem-634	2	15	shanghai	shanghai	PROPN
fbem-634	2	16	stock	stock	PROPN
fbem-634	2	17	market	market	NOUN
fbem-634	2	18	based	base	VERB
fbem-634	2	19	on	on	ADP
fbem-634	2	20	arch	arch	ADJ
fbem-634	2	21	model	model	PROPN
fbem-634	2	22	family	family	PROPN
fbem-634	2	23	jie	jie	PROPN
fbem-634	2	24	wang	wang	PROPN
fbem-634	2	25	school	school	PROPN
fbem-634	2	26	of	of	ADP
fbem-634	2	27	finance	finance	NOUN
fbem-634	2	28	,	,	PUNCT
fbem-634	2	29	anhui	anhui	PROPN
fbem-634	2	30	university	university	PROPN
fbem-634	2	31	of	of	ADP
fbem-634	2	32	finance	finance	NOUN
fbem-634	2	33	and	and	CCONJ
fbem-634	2	34	economics	economic	NOUN
fbem-634	2	35	,	,	PUNCT
fbem-634	2	36	bengbu	bengbu	NOUN
fbem-634	2	37	233030	233030	NUM
fbem-634	2	38	,	,	PUNCT
fbem-634	2	39	anhui	anhui	PROPN
fbem-634	2	40	,	,	PUNCT
fbem-634	2	41	china	china	PROPN
fbem-634	2	42	abstract	abstract	NOUN
fbem-634	2	43	:	:	PUNCT
fbem-634	2	44	in	in	ADP
fbem-634	2	45	order	order	NOUN
fbem-634	2	46	to	to	PART
fbem-634	2	47	study	study	VERB
fbem-634	2	48	the	the	DET
fbem-634	2	49	volatility	volatility	NOUN
fbem-634	2	50	characteristics	characteristic	NOUN
fbem-634	2	51	of	of	ADP
fbem-634	2	52	the	the	DET
fbem-634	2	53	shanghai	shanghai	PROPN
fbem-634	2	54	stock	stock	NOUN
fbem-634	2	55	market	market	NOUN
fbem-634	2	56	,	,	PUNCT
fbem-634	2	57	on	on	ADP
fbem-634	2	58	the	the	DET
fbem-634	2	59	basis	basis	NOUN
fbem-634	2	60	of	of	ADP
fbem-634	2	61	reviewing	review	VERB
fbem-634	2	62	the	the	DET
fbem-634	2	63	relevant	relevant	ADJ
fbem-634	2	64	literature	literature	NOUN
fbem-634	2	65	,	,	PUNCT
fbem-634	2	66	based	base	VERB
fbem-634	2	67	on	on	ADP
fbem-634	2	68	the	the	DET
fbem-634	2	69	arch	arch	ADJ
fbem-634	2	70	model	model	NOUN
fbem-634	2	71	family	family	NOUN
fbem-634	2	72	,	,	PUNCT
fbem-634	2	73	this	this	DET
fbem-634	2	74	paper	paper	NOUN
fbem-634	2	75	selects	select	NOUN
fbem-634	2	76	5797	5797	NUM
fbem-634	2	77	data	datum	NOUN
fbem-634	2	78	from	from	ADP
fbem-634	2	79	the	the	DET
fbem-634	2	80	daily	daily	ADJ
fbem-634	2	81	closing	closing	NOUN
fbem-634	2	82	price	price	NOUN
fbem-634	2	83	of	of	ADP
fbem-634	2	84	the	the	DET
fbem-634	2	85	shanghai	shanghai	PROPN
fbem-634	2	86	stock	stock	PROPN
fbem-634	2	87	exchange	exchange	PROPN
fbem-634	2	88	on	on	ADP
fbem-634	2	89	the	the	DET
fbem-634	2	90	shanghai	shanghai	PROPN
fbem-634	2	91	stock	stock	PROPN
fbem-634	2	92	exchange	exchange	PROPN
fbem-634	2	93	from	from	ADP
fbem-634	2	94	december	december	PROPN
fbem-634	2	95	27	27	NUM
fbem-634	2	96	,	,	PUNCT
fbem-634	2	97	1996	1996	NUM
fbem-634	2	98	to	to	ADP
fbem-634	2	99	november	november	PROPN
fbem-634	2	100	30	30	NUM
fbem-634	2	101	,	,	PUNCT
fbem-634	2	102	2020	2020	NUM
fbem-634	2	103	to	to	PART
fbem-634	2	104	empirically	empirically	ADV
fbem-634	2	105	analyze	analyze	VERB
fbem-634	2	106	the	the	DET
fbem-634	2	107	volatility	volatility	NOUN
fbem-634	2	108	characteristics	characteristic	NOUN
fbem-634	2	109	of	of	ADP
fbem-634	2	110	the	the	DET
fbem-634	2	111	shanghai	shanghai	PROPN
fbem-634	2	112	stock	stock	NOUN
fbem-634	2	113	market	market	NOUN
fbem-634	2	114	.	.	PUNCT
fbem-634	3	1	keywords	keyword	NOUN
fbem-634	3	2	:	:	PUNCT
fbem-634	3	3	shanghai	shanghai	PROPN
fbem-634	3	4	stock	stock	PROPN
fbem-634	3	5	market	market	NOUN
fbem-634	3	6	,	,	PUNCT
fbem-634	3	7	arch	arch	ADJ
fbem-634	3	8	model	model	NOUN
fbem-634	3	9	family	family	NOUN
fbem-634	3	10	,	,	PUNCT
fbem-634	3	11	volatility	volatility	NOUN
fbem-634	3	12	,	,	PUNCT
fbem-634	3	13	information	information	NOUN
fbem-634	3	14	shock	shock	NOUN
fbem-634	3	15	curve	curve	NOUN
fbem-634	3	16	.	.	PUNCT
fbem-634	4	1	1	1	X
fbem-634	4	2	.	.	X
fbem-634	4	3	introduction	introduction	NOUN
fbem-634	4	4	all	all	DET
fbem-634	4	5	classical	classical	ADJ
fbem-634	4	6	econometric	econometric	ADJ
fbem-634	4	7	models	model	NOUN
fbem-634	4	8	assume	assume	VERB
fbem-634	4	9	that	that	SCONJ
fbem-634	4	10	the	the	DET
fbem-634	4	11	random	random	ADJ
fbem-634	4	12	disturbance	disturbance	NOUN
fbem-634	4	13	terms	term	NOUN
fbem-634	4	14	have	have	VERB
fbem-634	4	15	homoscedasticity	homoscedasticity	NOUN
fbem-634	4	16	,	,	PUNCT
fbem-634	4	17	but	but	CCONJ
fbem-634	4	18	the	the	DET
fbem-634	4	19	fluctuations	fluctuation	NOUN
fbem-634	4	20	of	of	ADP
fbem-634	4	21	many	many	ADJ
fbem-634	4	22	financial	financial	ADJ
fbem-634	4	23	time	time	NOUN
fbem-634	4	24	series	series	PROPN
fbem-634	4	25	have	have	VERB
fbem-634	4	26	the	the	DET
fbem-634	4	27	phenomenon	phenomenon	NOUN
fbem-634	4	28	of	of	ADP
fbem-634	4	29	"	"	PUNCT
fbem-634	4	30	clustering	clustering	NOUN
fbem-634	4	31	"	"	PUNCT
fbem-634	4	32	,	,	PUNCT
fbem-634	4	33	that	that	ADV
fbem-634	4	34	is	is	ADV
fbem-634	4	35	,	,	PUNCT
fbem-634	4	36	the	the	DET
fbem-634	4	37	variance	variance	NOUN
fbem-634	4	38	fluctuates	fluctuate	VERB
fbem-634	4	39	less	less	ADV
fbem-634	4	40	in	in	ADP
fbem-634	4	41	one	one	NUM
fbem-634	4	42	period	period	NOUN
fbem-634	4	43	of	of	ADP
fbem-634	4	44	time	time	NOUN
fbem-634	4	45	and	and	CCONJ
fbem-634	4	46	fluctuates	fluctuate	VERB
fbem-634	4	47	more	more	ADJ
fbem-634	4	48	in	in	ADP
fbem-634	4	49	another	another	DET
fbem-634	4	50	period	period	NOUN
fbem-634	4	51	of	of	ADP
fbem-634	4	52	time	time	NOUN
fbem-634	4	53	.	.	PUNCT
fbem-634	5	1	obviously	obviously	ADV
fbem-634	5	2	,	,	PUNCT
fbem-634	5	3	for	for	ADP
fbem-634	5	4	financial	financial	ADJ
fbem-634	5	5	time	time	NOUN
fbem-634	5	6	series	series	NOUN
fbem-634	5	7	,	,	PUNCT
fbem-634	5	8	the	the	DET
fbem-634	5	9	assumption	assumption	NOUN
fbem-634	5	10	that	that	SCONJ
fbem-634	5	11	random	random	ADJ
fbem-634	5	12	disturbance	disturbance	NOUN
fbem-634	5	13	terms	term	NOUN
fbem-634	5	14	have	have	AUX
fbem-634	5	15	homoscedasticity	homoscedasticity	NOUN
fbem-634	5	16	is	be	AUX
fbem-634	5	17	inappropriate	inappropriate	ADJ
fbem-634	5	18	.	.	PUNCT
fbem-634	6	1	the	the	DET
fbem-634	6	2	basic	basic	ADJ
fbem-634	6	3	idea	idea	NOUN
fbem-634	6	4	of	of	ADP
fbem-634	6	5	the	the	DET
fbem-634	6	6	arch	arch	ADJ
fbem-634	6	7	model	model	NOUN
fbem-634	6	8	is	be	AUX
fbem-634	6	9	that	that	SCONJ
fbem-634	6	10	the	the	DET
fbem-634	6	11	random	random	ADJ
fbem-634	6	12	error	error	NOUN
fbem-634	6	13	term	term	NOUN
fbem-634	6	14	depends	depend	VERB
fbem-634	6	15	on	on	ADP
fbem-634	6	16	its	its	PRON
fbem-634	6	17	previous	previous	ADJ
fbem-634	6	18	values	value	NOUN
fbem-634	6	19	,	,	PUNCT
fbem-634	6	20	,	,	PUNCT
fbem-634	6	21	…	…	PUNCT
fbem-634	6	22	,	,	PUNCT
fbem-634	6	23	and	and	CCONJ
fbem-634	6	24	its	its	PRON
fbem-634	6	25	variance	variance	NOUN
fbem-634	6	26	is	be	AUX
fbem-634	6	27	conditional	conditional	ADJ
fbem-634	6	28	heteroskedasticity	heteroskedasticity	NOUN
fbem-634	6	29	over	over	ADP
fbem-634	6	30	time	time	NOUN
fbem-634	6	31	.	.	PUNCT
fbem-634	7	1	and	and	CCONJ
fbem-634	7	2	this	this	DET
fbem-634	7	3	conditional	conditional	ADJ
fbem-634	7	4	heteroskedasticity	heteroskedasticity	NOUN
fbem-634	7	5	is	be	AUX
fbem-634	7	6	a	a	DET
fbem-634	7	7	linear	linear	ADJ
fbem-634	7	8	combination	combination	NOUN
fbem-634	7	9	of	of	ADP
fbem-634	7	10	the	the	DET
fbem-634	7	11	squares	square	NOUN
fbem-634	7	12	of	of	ADP
fbem-634	7	13	the	the	DET
fbem-634	7	14	random	random	ADJ
fbem-634	7	15	error	error	NOUN
fbem-634	7	16	lags	lag	VERB
fbem-634	7	17	.	.	PUNCT
fbem-634	8	1	however	however	ADV
fbem-634	8	2	,	,	PUNCT
fbem-634	8	3	in	in	ADP
fbem-634	8	4	practical	practical	ADJ
fbem-634	8	5	applications	application	NOUN
fbem-634	8	6	,	,	PUNCT
fbem-634	8	7	highorder	highorder	NOUN
fbem-634	8	8	moving	move	VERB
fbem-634	8	9	averages	average	NOUN
fbem-634	8	10	often	often	ADV
fbem-634	8	11	appear	appear	VERB
fbem-634	8	12	,	,	PUNCT
fbem-634	8	13	and	and	CCONJ
fbem-634	8	14	there	there	PRON
fbem-634	8	15	are	be	VERB
fbem-634	8	16	higher	high	ADJ
fbem-634	8	17	restrictions	restriction	NOUN
fbem-634	8	18	on	on	ADP
fbem-634	8	19	parameters	parameter	NOUN
fbem-634	8	20	,	,	PUNCT
fbem-634	8	21	which	which	PRON
fbem-634	8	22	increases	increase	VERB
fbem-634	8	23	the	the	DET
fbem-634	8	24	difficulty	difficulty	NOUN
fbem-634	8	25	of	of	ADP
fbem-634	8	26	model	model	NOUN
fbem-634	8	27	estimation	estimation	NOUN
fbem-634	8	28	.	.	PUNCT
fbem-634	9	1	garch	garch	NOUN
fbem-634	9	2	models	model	NOUN
fbem-634	9	3	reduce	reduce	VERB
fbem-634	9	4	the	the	DET
fbem-634	9	5	requirements	requirement	NOUN
fbem-634	9	6	for	for	ADP
fbem-634	9	7	parameters	parameter	NOUN
fbem-634	9	8	.	.	PUNCT
fbem-634	10	1	based	base	VERB
fbem-634	10	2	on	on	ADP
fbem-634	10	3	the	the	DET
fbem-634	10	4	arch	arch	ADJ
fbem-634	10	5	model	model	NOUN
fbem-634	10	6	and	and	CCONJ
fbem-634	10	7	the	the	DET
fbem-634	10	8	garch	garch	NOUN
fbem-634	10	9	model	model	NOUN
fbem-634	10	10	,	,	PUNCT
fbem-634	10	11	many	many	ADJ
fbem-634	10	12	derived	derived	ADJ
fbem-634	10	13	garch	garch	NOUN
fbem-634	10	14	models	model	NOUN
fbem-634	10	15	have	have	AUX
fbem-634	10	16	emerged	emerge	VERB
fbem-634	10	17	one	one	NUM
fbem-634	10	18	after	after	ADP
fbem-634	10	19	another	another	PRON
fbem-634	10	20	,	,	PUNCT
fbem-634	10	21	such	such	ADJ
fbem-634	10	22	as	as	ADP
fbem-634	10	23	garch	garch	NOUN
fbem-634	10	24	-	-	PUNCT
fbem-634	10	25	m	m	NOUN
fbem-634	10	26	,	,	PUNCT
fbem-634	10	27	tgarch	tgarch	PROPN
fbem-634	10	28	,	,	PUNCT
fbem-634	10	29	egarch	egarch	NOUN
fbem-634	10	30	models	model	NOUN
fbem-634	10	31	,	,	PUNCT
fbem-634	10	32	etc	etc	X
fbem-634	10	33	.	.	X
fbem-634	10	34	,	,	PUNCT
fbem-634	10	35	forming	form	VERB
fbem-634	10	36	the	the	DET
fbem-634	10	37	arch	arch	ADJ
fbem-634	10	38	model	model	NOUN
fbem-634	10	39	family	family	NOUN
fbem-634	10	40	.	.	PUNCT
fbem-634	11	1	china	china	PROPN
fbem-634	11	2	's	's	PART
fbem-634	11	3	stock	stock	NOUN
fbem-634	11	4	market	market	NOUN
fbem-634	11	5	has	have	VERB
fbem-634	11	6	a	a	DET
fbem-634	11	7	history	history	NOUN
fbem-634	11	8	of	of	ADP
fbem-634	11	9	30	30	NUM
fbem-634	11	10	years	year	NOUN
fbem-634	11	11	since	since	SCONJ
fbem-634	11	12	the	the	DET
fbem-634	11	13	establishment	establishment	NOUN
fbem-634	11	14	of	of	ADP
fbem-634	11	15	the	the	DET
fbem-634	11	16	shanghai	shanghai	PROPN
fbem-634	11	17	and	and	CCONJ
fbem-634	11	18	shenzhen	shenzhen	PROPN
fbem-634	11	19	stock	stock	PROPN
fbem-634	11	20	markets	market	NOUN
fbem-634	11	21	.	.	PUNCT
fbem-634	12	1	during	during	ADP
fbem-634	12	2	this	this	DET
fbem-634	12	3	period	period	NOUN
fbem-634	12	4	,	,	PUNCT
fbem-634	12	5	there	there	PRON
fbem-634	12	6	have	have	AUX
fbem-634	12	7	been	be	AUX
fbem-634	12	8	many	many	ADJ
fbem-634	12	9	sharp	sharp	ADJ
fbem-634	12	10	rises	rise	NOUN
fbem-634	12	11	and	and	CCONJ
fbem-634	12	12	falls	fall	VERB
fbem-634	12	13	,	,	PUNCT
fbem-634	12	14	especially	especially	ADV
fbem-634	12	15	before	before	ADP
fbem-634	12	16	and	and	CCONJ
fbem-634	12	17	after	after	ADP
fbem-634	12	18	the	the	DET
fbem-634	12	19	stock	stock	NOUN
fbem-634	12	20	market	market	NOUN
fbem-634	12	21	crash	crash	NOUN
fbem-634	12	22	in	in	ADP
fbem-634	12	23	2007	2007	NUM
fbem-634	12	24	and	and	CCONJ
fbem-634	12	25	2015	2015	NUM
fbem-634	12	26	.	.	PUNCT
fbem-634	13	1	the	the	DET
fbem-634	13	2	chinese	chinese	ADJ
fbem-634	13	3	stock	stock	NOUN
fbem-634	13	4	market	market	NOUN
fbem-634	13	5	has	have	AUX
fbem-634	13	6	experienced	experience	VERB
fbem-634	13	7	huge	huge	ADJ
fbem-634	13	8	fluctuations	fluctuation	NOUN
fbem-634	13	9	.	.	PUNCT
fbem-634	14	1	the	the	DET
fbem-634	14	2	volatility	volatility	NOUN
fbem-634	14	3	characteristics	characteristic	NOUN
fbem-634	14	4	of	of	ADP
fbem-634	14	5	the	the	DET
fbem-634	14	6	stock	stock	NOUN
fbem-634	14	7	market	market	NOUN
fbem-634	14	8	,	,	PUNCT
fbem-634	14	9	as	as	ADP
fbem-634	14	10	its	its	PRON
fbem-634	14	11	basic	basic	ADJ
fbem-634	14	12	characteristics	characteristic	NOUN
fbem-634	14	13	and	and	CCONJ
fbem-634	14	14	research	research	NOUN
fbem-634	14	15	starting	starting	NOUN
fbem-634	14	16	point	point	NOUN
fbem-634	14	17	,	,	PUNCT
fbem-634	14	18	have	have	AUX
fbem-634	14	19	always	always	ADV
fbem-634	14	20	been	be	AUX
fbem-634	14	21	the	the	DET
fbem-634	14	22	hot	hot	ADJ
fbem-634	14	23	and	and	CCONJ
fbem-634	14	24	key	key	ADJ
fbem-634	14	25	issues	issue	NOUN
fbem-634	14	26	of	of	ADP
fbem-634	14	27	theoretical	theoretical	ADJ
fbem-634	14	28	research	research	NOUN
fbem-634	14	29	and	and	CCONJ
fbem-634	14	30	empirical	empirical	ADJ
fbem-634	14	31	analysis	analysis	NOUN
fbem-634	14	32	in	in	ADP
fbem-634	14	33	the	the	DET
fbem-634	14	34	field	field	NOUN
fbem-634	14	35	of	of	ADP
fbem-634	14	36	financial	financial	ADJ
fbem-634	14	37	investment	investment	NOUN
fbem-634	14	38	.	.	PUNCT
fbem-634	15	1	at	at	ADP
fbem-634	15	2	present	present	ADJ
fbem-634	15	3	,	,	PUNCT
fbem-634	15	4	the	the	DET
fbem-634	15	5	methods	method	NOUN
fbem-634	15	6	and	and	CCONJ
fbem-634	15	7	angles	angle	NOUN
fbem-634	15	8	of	of	ADP
fbem-634	15	9	studying	study	VERB
fbem-634	15	10	the	the	DET
fbem-634	15	11	volatility	volatility	NOUN
fbem-634	15	12	of	of	ADP
fbem-634	15	13	the	the	DET
fbem-634	15	14	stock	stock	NOUN
fbem-634	15	15	market	market	NOUN
fbem-634	15	16	tend	tend	VERB
fbem-634	15	17	to	to	PART
fbem-634	15	18	be	be	AUX
fbem-634	15	19	diversified	diversify	VERB
fbem-634	15	20	.	.	PUNCT
fbem-634	16	1	this	this	DET
fbem-634	16	2	paper	paper	NOUN
fbem-634	16	3	studies	study	NOUN
fbem-634	16	4	the	the	DET
fbem-634	16	5	volatility	volatility	NOUN
fbem-634	16	6	characteristics	characteristic	NOUN
fbem-634	16	7	of	of	ADP
fbem-634	16	8	the	the	DET
fbem-634	16	9	shanghai	shanghai	PROPN
fbem-634	16	10	stock	stock	PROPN
fbem-634	16	11	market	market	NOUN
fbem-634	16	12	based	base	VERB
fbem-634	16	13	on	on	ADP
fbem-634	16	14	the	the	DET
fbem-634	16	15	arch	arch	ADJ
fbem-634	16	16	model	model	NOUN
fbem-634	16	17	family	family	NOUN
fbem-634	16	18	.	.	PUNCT
fbem-634	17	1	2	2	X
fbem-634	17	2	.	.	X
fbem-634	17	3	literature	literature	NOUN
fbem-634	17	4	review	review	NOUN
fbem-634	17	5	in	in	ADP
fbem-634	17	6	recent	recent	ADJ
fbem-634	17	7	years	year	NOUN
fbem-634	17	8	,	,	PUNCT
fbem-634	17	9	the	the	DET
fbem-634	17	10	arch	arch	ADJ
fbem-634	17	11	model	model	NOUN
fbem-634	17	12	family	family	NOUN
fbem-634	17	13	has	have	AUX
fbem-634	17	14	been	be	AUX
fbem-634	17	15	widely	widely	ADV
fbem-634	17	16	used	use	VERB
fbem-634	17	17	in	in	ADP
fbem-634	17	18	the	the	DET
fbem-634	17	19	financial	financial	ADJ
fbem-634	17	20	field	field	NOUN
fbem-634	17	21	,	,	PUNCT
fbem-634	17	22	especially	especially	ADV
fbem-634	17	23	a	a	DET
fbem-634	17	24	large	large	ADJ
fbem-634	17	25	number	number	NOUN
fbem-634	17	26	of	of	ADP
fbem-634	17	27	domestic	domestic	ADJ
fbem-634	17	28	and	and	CCONJ
fbem-634	17	29	foreign	foreign	ADJ
fbem-634	17	30	literatures	literature	NOUN
fbem-634	17	31	study	study	VERB
fbem-634	17	32	stock	stock	NOUN
fbem-634	17	33	market	market	NOUN
fbem-634	17	34	volatility	volatility	NOUN
fbem-634	17	35	and	and	CCONJ
fbem-634	17	36	stock	stock	NOUN
fbem-634	17	37	market	market	NOUN
fbem-634	17	38	forecasting	forecasting	NOUN
fbem-634	17	39	.	.	PUNCT
fbem-634	18	1	in	in	ADP
fbem-634	18	2	terms	term	NOUN
fbem-634	18	3	of	of	ADP
fbem-634	18	4	domestic	domestic	ADJ
fbem-634	18	5	related	relate	VERB
fbem-634	18	6	research	research	NOUN
fbem-634	18	7	,	,	PUNCT
fbem-634	18	8	tang	tang	NOUN
fbem-634	18	9	and	and	CCONJ
fbem-634	18	10	chen	chen	PROPN
fbem-634	18	11	(	(	PUNCT
fbem-634	18	12	2001	2001	NUM
fbem-634	18	13	)	)	PUNCT
fbem-634	18	14	analyzed	analyze	VERB
fbem-634	18	15	the	the	DET
fbem-634	18	16	arch	arch	ADJ
fbem-634	18	17	effect	effect	NOUN
fbem-634	18	18	of	of	ADP
fbem-634	18	19	the	the	DET
fbem-634	18	20	shanghai	shanghai	PROPN
fbem-634	18	21	and	and	CCONJ
fbem-634	18	22	shenzhen	shenzhen	PROPN
fbem-634	18	23	stock	stock	NOUN
fbem-634	18	24	indexes	index	NOUN
fbem-634	18	25	and	and	CCONJ
fbem-634	18	26	found	find	VERB
fbem-634	18	27	that	that	SCONJ
fbem-634	18	28	there	there	PRON
fbem-634	18	29	is	be	VERB
fbem-634	18	30	a	a	DET
fbem-634	18	31	leverage	leverage	NOUN
fbem-634	18	32	effect	effect	NOUN
fbem-634	18	33	,	,	PUNCT
fbem-634	18	34	the	the	DET
fbem-634	18	35	volatility	volatility	NOUN
fbem-634	18	36	is	be	AUX
fbem-634	18	37	relatively	relatively	ADV
fbem-634	18	38	concentrated	concentrate	VERB
fbem-634	18	39	,	,	PUNCT
fbem-634	18	40	and	and	CCONJ
fbem-634	18	41	it	it	PRON
fbem-634	18	42	has	have	VERB
fbem-634	18	43	a	a	DET
fbem-634	18	44	certain	certain	ADJ
fbem-634	18	45	impact	impact	NOUN
fbem-634	18	46	on	on	ADP
fbem-634	18	47	the	the	DET
fbem-634	18	48	future	future	NOUN
fbem-634	18	49	.	.	PUNCT
fbem-634	19	1	[	[	X
fbem-634	19	2	1	1	X
fbem-634	19	3	]	]	X
fbem-634	19	4	li	li	PROPN
fbem-634	19	5	et	et	PROPN
fbem-634	19	6	al	al	PROPN
fbem-634	19	7	.	.	PROPN
fbem-634	20	1	(	(	PUNCT
fbem-634	20	2	2003	2003	NUM
fbem-634	20	3	)	)	PUNCT
fbem-634	20	4	selected	select	VERB
fbem-634	20	5	the	the	DET
fbem-634	20	6	shanghai	shanghai	PROPN
fbem-634	20	7	stock	stock	PROPN
fbem-634	20	8	exchange	exchange	PROPN
fbem-634	20	9	30	30	NUM
fbem-634	20	10	index	index	NOUN
fbem-634	20	11	,	,	PUNCT
fbem-634	20	12	the	the	DET
fbem-634	20	13	shanghai	shanghai	PROPN
fbem-634	20	14	stock	stock	PROPN
fbem-634	20	15	exchange	exchange	PROPN
fbem-634	20	16	,	,	PUNCT
fbem-634	20	17	the	the	DET
fbem-634	20	18	shenzhen	shenzhen	PROPN
fbem-634	20	19	stock	stock	PROPN
fbem-634	20	20	exchange	exchange	PROPN
fbem-634	20	21	and	and	CCONJ
fbem-634	20	22	the	the	DET
fbem-634	20	23	hong	hong	PROPN
fbem-634	20	24	kong	kong	PROPN
fbem-634	20	25	hang	hang	PROPN
fbem-634	20	26	seng	seng	PROPN
fbem-634	20	27	index	index	PROPN
fbem-634	20	28	to	to	PART
fbem-634	20	29	predict	predict	VERB
fbem-634	20	30	the	the	DET
fbem-634	20	31	volatility	volatility	NOUN
fbem-634	20	32	of	of	ADP
fbem-634	20	33	the	the	DET
fbem-634	20	34	chinese	chinese	ADJ
fbem-634	20	35	stock	stock	NOUN
fbem-634	20	36	market	market	NOUN
fbem-634	20	37	.	.	PUNCT
fbem-634	21	1	they	they	PRON
fbem-634	21	2	pointed	point	VERB
fbem-634	21	3	out	out	ADP
fbem-634	21	4	that	that	SCONJ
fbem-634	21	5	the	the	DET
fbem-634	21	6	e	e	ADJ
fbem-634	21	7	-	-	ADJ
fbem-634	21	8	garch	garch	ADJ
fbem-634	21	9	model	model	NOUN
fbem-634	21	10	's	's	PART
fbem-634	21	11	ability	ability	NOUN
fbem-634	21	12	to	to	PART
fbem-634	21	13	predict	predict	VERB
fbem-634	21	14	the	the	DET
fbem-634	21	15	volatility	volatility	NOUN
fbem-634	21	16	of	of	ADP
fbem-634	21	17	the	the	DET
fbem-634	21	18	first	first	ADJ
fbem-634	21	19	three	three	NUM
fbem-634	21	20	indexes	index	NOUN
fbem-634	21	21	is	be	AUX
fbem-634	21	22	greater	great	ADJ
fbem-634	21	23	than	than	ADP
fbem-634	21	24	that	that	PRON
fbem-634	21	25	of	of	ADP
fbem-634	21	26	the	the	DET
fbem-634	21	27	garch	garch	NOUN
fbem-634	21	28	model	model	NOUN
fbem-634	21	29	and	and	CCONJ
fbem-634	21	30	the	the	DET
fbem-634	21	31	tgarch	tgarch	NOUN
fbem-634	21	32	model	model	NOUN
fbem-634	21	33	,	,	PUNCT
fbem-634	21	34	but	but	CCONJ
fbem-634	21	35	the	the	DET
fbem-634	21	36	three	three	NUM
fbem-634	21	37	models	model	NOUN
fbem-634	21	38	'	'	PART
fbem-634	21	39	ability	ability	NOUN
fbem-634	21	40	to	to	PART
fbem-634	21	41	predict	predict	VERB
fbem-634	21	42	the	the	DET
fbem-634	21	43	volatility	volatility	NOUN
fbem-634	21	44	of	of	ADP
fbem-634	21	45	the	the	DET
fbem-634	21	46	hong	hong	PROPN
fbem-634	21	47	kong	kong	PROPN
fbem-634	21	48	hang	hang	PROPN
fbem-634	21	49	seng	seng	PROPN
fbem-634	21	50	index	index	NOUN
fbem-634	21	51	is	be	AUX
fbem-634	21	52	almost	almost	ADV
fbem-634	21	53	the	the	DET
fbem-634	21	54	same	same	ADJ
fbem-634	21	55	.	.	PUNCT
fbem-634	22	1	[	[	X
fbem-634	22	2	2	2	NUM
fbem-634	22	3	]	]	X
fbem-634	22	4	yan	yan	PROPN
fbem-634	22	5	and	and	CCONJ
fbem-634	22	6	li	li	PROPN
fbem-634	22	7	(	(	PUNCT
fbem-634	22	8	2008	2008	NUM
fbem-634	22	9	)	)	PUNCT
fbem-634	22	10	found	find	VERB
fbem-634	22	11	that	that	SCONJ
fbem-634	22	12	the	the	DET
fbem-634	22	13	volatility	volatility	NOUN
fbem-634	22	14	of	of	ADP
fbem-634	22	15	my	my	PRON
fbem-634	22	16	country	country	NOUN
fbem-634	22	17	's	's	PART
fbem-634	22	18	stock	stock	NOUN
fbem-634	22	19	market	market	NOUN
fbem-634	22	20	has	have	VERB
fbem-634	22	21	no	no	DET
fbem-634	22	22	leverage	leverage	NOUN
fbem-634	22	23	effect	effect	NOUN
fbem-634	22	24	,	,	PUNCT
fbem-634	22	25	and	and	CCONJ
fbem-634	22	26	the	the	DET
fbem-634	22	27	garch	garch	NOUN
fbem-634	22	28	(	(	PUNCT
fbem-634	22	29	1,1	1,1	NUM
fbem-634	22	30	)	)	PUNCT
fbem-634	22	31	model	model	NOUN
fbem-634	22	32	with	with	ADP
fbem-634	22	33	student's	student's	PROPN
fbem-634	22	34	-	-	PUNCT
fbem-634	22	35	t	t	NOUN
fbem-634	22	36	distribution	distribution	NOUN
fbem-634	22	37	has	have	VERB
fbem-634	22	38	the	the	DET
fbem-634	22	39	best	good	ADJ
fbem-634	22	40	prediction	prediction	NOUN
fbem-634	22	41	effect.[3	effect.[3	NOUN
fbem-634	22	42	]	]	X
fbem-634	22	43	luo	luo	PROPN
fbem-634	22	44	and	and	CCONJ
fbem-634	22	45	yang	yang	PROPN
fbem-634	22	46	(	(	PUNCT
fbem-634	22	47	2013	2013	NUM
fbem-634	22	48	)	)	PUNCT
fbem-634	22	49	studied	study	VERB
fbem-634	22	50	the	the	DET
fbem-634	22	51	asymmetry	asymmetry	NOUN
fbem-634	22	52	and	and	CCONJ
fbem-634	22	53	risk	risk	NOUN
fbem-634	22	54	premium	premium	NOUN
fbem-634	22	55	of	of	ADP
fbem-634	22	56	the	the	DET
fbem-634	22	57	shanghai	shanghai	PROPN
fbem-634	22	58	composite	composite	PROPN
fbem-634	22	59	index	index	NOUN
fbem-634	22	60	,	,	PUNCT
fbem-634	22	61	and	and	CCONJ
fbem-634	22	62	found	find	VERB
fbem-634	22	63	that	that	SCONJ
fbem-634	22	64	the	the	DET
fbem-634	22	65	garch	garch	NOUN
fbem-634	22	66	model	model	NOUN
fbem-634	22	67	can	can	AUX
fbem-634	22	68	capture	capture	VERB
fbem-634	22	69	the	the	DET
fbem-634	22	70	conditional	conditional	ADJ
fbem-634	22	71	heteroscedasticity	heteroscedasticity	NOUN
fbem-634	22	72	,	,	PUNCT
fbem-634	22	73	the	the	DET
fbem-634	22	74	shanghai	shanghai	PROPN
fbem-634	22	75	stock	stock	PROPN
fbem-634	22	76	market	market	NOUN
fbem-634	22	77	has	have	VERB
fbem-634	22	78	a	a	DET
fbem-634	22	79	positive	positive	ADJ
fbem-634	22	80	risk	risk	NOUN
fbem-634	22	81	premium	premium	NOUN
fbem-634	22	82	,	,	PUNCT
fbem-634	22	83	and	and	CCONJ
fbem-634	22	84	its	its	PRON
fbem-634	22	85	volatility	volatility	NOUN
fbem-634	22	86	is	be	AUX
fbem-634	22	87	asymmetric.[4	asymmetric.[4	NUM
fbem-634	22	88	]	]	X
fbem-634	22	89	wu	wu	PROPN
fbem-634	22	90	(	(	PUNCT
fbem-634	22	91	2014	2014	NUM
fbem-634	22	92	)	)	PUNCT
fbem-634	22	93	studied	study	VERB
fbem-634	22	94	the	the	DET
fbem-634	22	95	volatility	volatility	NOUN
fbem-634	22	96	of	of	ADP
fbem-634	22	97	the	the	DET
fbem-634	22	98	returns	return	NOUN
fbem-634	22	99	of	of	ADP
fbem-634	22	100	the	the	DET
fbem-634	22	101	shanghai	shanghai	PROPN
fbem-634	22	102	stock	stock	PROPN
fbem-634	22	103	exchange	exchange	PROPN
fbem-634	22	104	and	and	CCONJ
fbem-634	22	105	found	find	VERB
fbem-634	22	106	that	that	SCONJ
fbem-634	22	107	the	the	DET
fbem-634	22	108	egarch	egarch	NOUN
fbem-634	22	109	model	model	NOUN
fbem-634	22	110	is	be	AUX
fbem-634	22	111	more	more	ADV
fbem-634	22	112	suitable	suitable	ADJ
fbem-634	22	113	for	for	ADP
fbem-634	22	114	describing	describe	VERB
fbem-634	22	115	the	the	DET
fbem-634	22	116	volatility	volatility	NOUN
fbem-634	22	117	of	of	ADP
fbem-634	22	118	the	the	DET
fbem-634	22	119	stock	stock	NOUN
fbem-634	22	120	market.[5	market.[5	PRON
fbem-634	22	121	]	]	PUNCT
fbem-634	22	122	zheng	zheng	PROPN
fbem-634	22	123	and	and	CCONJ
fbem-634	22	124	shang	shang	PROPN
fbem-634	22	125	(	(	PUNCT
fbem-634	22	126	2014	2014	NUM
fbem-634	22	127	)	)	PUNCT
fbem-634	22	128	further	far	ADV
fbem-634	22	129	use	use	VERB
fbem-634	22	130	the	the	DET
fbem-634	22	131	mixed	mixed	ADJ
fbem-634	22	132	sampling	sample	VERB
fbem-634	22	133	garch	garch	NOUN
fbem-634	22	134	-	-	PUNCT
fbem-634	22	135	midas	midas	PROPN
fbem-634	22	136	model	model	NOUN
fbem-634	22	137	to	to	PART
fbem-634	22	138	describe	describe	VERB
fbem-634	22	139	the	the	DET
fbem-634	22	140	volatility	volatility	NOUN
fbem-634	22	141	of	of	ADP
fbem-634	22	142	chinese	chinese	ADJ
fbem-634	22	143	stock	stock	NOUN
fbem-634	22	144	markets.[6	markets.[6	NOUN
fbem-634	22	145	]	]	X
fbem-634	22	146	zhu	zhu	PROPN
fbem-634	22	147	et	et	PROPN
fbem-634	22	148	al	al	PROPN
fbem-634	22	149	.	.	PROPN
fbem-634	23	1	(	(	PUNCT
fbem-634	23	2	2015	2015	NUM
fbem-634	23	3	)	)	PUNCT
fbem-634	23	4	combined	combine	VERB
fbem-634	23	5	the	the	DET
fbem-634	23	6	var	var	NOUN
fbem-634	23	7	model	model	NOUN
fbem-634	23	8	with	with	ADP
fbem-634	23	9	the	the	DET
fbem-634	23	10	tgarch	tgarch	NOUN
fbem-634	23	11	model	model	NOUN
fbem-634	23	12	and	and	CCONJ
fbem-634	23	13	the	the	DET
fbem-634	23	14	egarch	egarch	NOUN
fbem-634	23	15	model	model	NOUN
fbem-634	23	16	,	,	PUNCT
fbem-634	23	17	and	and	CCONJ
fbem-634	23	18	believed	believe	VERB
fbem-634	23	19	that	that	SCONJ
fbem-634	23	20	the	the	DET
fbem-634	23	21	tgarch	tgarch	NOUN
fbem-634	23	22	(	(	PUNCT
fbem-634	23	23	1,1	1,1	NUM
fbem-634	23	24	)	)	PUNCT
fbem-634	23	25	model	model	NOUN
fbem-634	23	26	and	and	CCONJ
fbem-634	23	27	the	the	DET
fbem-634	23	28	egarch	egarch	NOUN
fbem-634	23	29	(	(	PUNCT
fbem-634	23	30	1,1	1,1	NUM
fbem-634	23	31	)	)	PUNCT
fbem-634	23	32	model	model	NOUN
fbem-634	23	33	had	have	VERB
fbem-634	23	34	better	well	ADJ
fbem-634	23	35	fitting	fitting	ADJ
fbem-634	23	36	effects	effect	NOUN
fbem-634	23	37	on	on	ADP
fbem-634	23	38	the	the	DET
fbem-634	23	39	shenzhen	shenzhen	PROPN
fbem-634	23	40	component	component	PROPN
fbem-634	23	41	index	index	NOUN
fbem-634	23	42	and	and	CCONJ
fbem-634	23	43	the	the	DET
fbem-634	23	44	shanghai	shanghai	PROPN
fbem-634	23	45	composite	composite	PROPN
fbem-634	23	46	index	index	NOUN
fbem-634	23	47	.	.	PUNCT
fbem-634	24	1	the	the	DET
fbem-634	24	2	volatility	volatility	NOUN
fbem-634	24	3	of	of	ADP
fbem-634	24	4	the	the	DET
fbem-634	24	5	shanghai	shanghai	PROPN
fbem-634	24	6	stock	stock	PROPN
fbem-634	24	7	market	market	NOUN
fbem-634	24	8	and	and	CCONJ
fbem-634	24	9	the	the	DET
fbem-634	24	10	shenzhen	shenzhen	PROPN
fbem-634	24	11	stock	stock	PROPN
fbem-634	24	12	market	market	NOUN
fbem-634	24	13	has	have	VERB
fbem-634	24	14	a	a	DET
fbem-634	24	15	leverage	leverage	NOUN
fbem-634	24	16	effect	effect	NOUN
fbem-634	24	17	.	.	PUNCT
fbem-634	25	1	[	[	X
fbem-634	25	2	7	7	X
fbem-634	25	3	]	]	PUNCT
fbem-634	25	4	according	accord	VERB
fbem-634	25	5	to	to	ADP
fbem-634	25	6	relevant	relevant	ADJ
fbem-634	25	7	foreign	foreign	ADJ
fbem-634	25	8	studies	study	NOUN
fbem-634	25	9	,	,	PUNCT
fbem-634	25	10	pagan	pagan	VERB
fbem-634	25	11	and	and	CCONJ
fbem-634	25	12	schwert	schwert	NOUN
fbem-634	25	13	(	(	PUNCT
fbem-634	25	14	1990	1990	NUM
fbem-634	25	15	)	)	PUNCT
fbem-634	25	16	study	study	NOUN
fbem-634	25	17	on	on	ADP
fbem-634	25	18	the	the	DET
fbem-634	25	19	volatility	volatility	NOUN
fbem-634	25	20	of	of	ADP
fbem-634	25	21	us	us	PROPN
fbem-634	25	22	stock	stock	NOUN
fbem-634	25	23	returns	return	NOUN
fbem-634	25	24	shows	show	VERB
fbem-634	25	25	that	that	SCONJ
fbem-634	25	26	stock	stock	NOUN
fbem-634	25	27	volatility	volatility	NOUN
fbem-634	25	28	is	be	AUX
fbem-634	25	29	non	non	ADJ
fbem-634	25	30	-	-	ADJ
fbem-634	25	31	stationary	stationary	ADJ
fbem-634	25	32	,	,	PUNCT
fbem-634	25	33	and	and	CCONJ
fbem-634	25	34	the	the	DET
fbem-634	25	35	garch	garch	NOUN
fbem-634	25	36	model	model	NOUN
fbem-634	25	37	has	have	VERB
fbem-634	25	38	good	good	ADJ
fbem-634	25	39	fitting	fitting	ADJ
fbem-634	25	40	effect	effect	NOUN
fbem-634	25	41	and	and	CCONJ
fbem-634	25	42	prediction	prediction	NOUN
fbem-634	25	43	accuracy	accuracy	NOUN
fbem-634	25	44	.	.	PUNCT
fbem-634	26	1	but	but	CCONJ
fbem-634	26	2	traditional	traditional	ADJ
fbem-634	26	3	arch	arch	NOUN
fbem-634	26	4	or	or	CCONJ
fbem-634	26	5	garch	garch	NOUN
fbem-634	26	6	models	model	NOUN
fbem-634	26	7	can	can	AUX
fbem-634	26	8	not	not	PART
fbem-634	26	9	capture	capture	VERB
fbem-634	26	10	the	the	DET
fbem-634	26	11	nonlinear	nonlinear	ADJ
fbem-634	26	12	characteristics	characteristic	NOUN
fbem-634	26	13	of	of	ADP
fbem-634	26	14	stock	stock	NOUN
fbem-634	26	15	returns.[8	returns.[8	NOUN
fbem-634	26	16	]	]	X
fbem-634	26	17	danielson	danielson	PROPN
fbem-634	26	18	(	(	PUNCT
fbem-634	26	19	1994	1994	NUM
fbem-634	26	20	)	)	PUNCT
fbem-634	26	21	used	use	VERB
fbem-634	26	22	the	the	DET
fbem-634	26	23	maximum	maximum	ADJ
fbem-634	26	24	likelihood	likelihood	NOUN
fbem-634	26	25	method	method	NOUN
fbem-634	26	26	to	to	PART
fbem-634	26	27	study	study	VERB
fbem-634	26	28	the	the	DET
fbem-634	26	29	daily	daily	ADJ
fbem-634	26	30	data	datum	NOUN
fbem-634	26	31	of	of	ADP
fbem-634	26	32	the	the	DET
fbem-634	26	33	s&p500	s&p500	NOUN
fbem-634	26	34	index	index	NOUN
fbem-634	26	35	and	and	CCONJ
fbem-634	26	36	concluded	conclude	VERB
fbem-634	26	37	that	that	SCONJ
fbem-634	26	38	the	the	DET
fbem-634	26	39	egarch(2,1	egarch(2,1	NOUN
fbem-634	26	40	)	)	PUNCT
fbem-634	26	41	model	model	NOUN
fbem-634	26	42	was	be	AUX
fbem-634	26	43	better	well	ADJ
fbem-634	26	44	than	than	ADP
fbem-634	26	45	the	the	DET
fbem-634	26	46	arch(5	arch(5	NOUN
fbem-634	26	47	)	)	PUNCT
fbem-634	26	48	and	and	CCONJ
fbem-634	26	49	garch(1,2	garch(1,2	ADJ
fbem-634	26	50	)	)	PUNCT
fbem-634	26	51	models	model	NOUN
fbem-634	26	52	in	in	ADP
fbem-634	26	53	fitting	fit	VERB
fbem-634	26	54	the	the	DET
fbem-634	26	55	data.[9	data.[9	NOUN
fbem-634	26	56	]	]	PUNCT
fbem-634	26	57	awartani	awartani	NOUN
fbem-634	26	58	and	and	CCONJ
fbem-634	26	59	corradi	corradi	NOUN
fbem-634	26	60	(	(	PUNCT
fbem-634	26	61	2005	2005	NUM
fbem-634	26	62	)	)	PUNCT
fbem-634	26	63	used	use	VERB
fbem-634	26	64	the	the	DET
fbem-634	26	65	garch	garch	NOUN
fbem-634	26	66	model	model	NOUN
fbem-634	26	67	family	family	NOUN
fbem-634	26	68	to	to	PART
fbem-634	26	69	predict	predict	VERB
fbem-634	26	70	the	the	DET
fbem-634	26	71	s&p500	s&p500	PROPN
fbem-634	26	72	index	index	NOUN
fbem-634	26	73	,	,	PUNCT
fbem-634	26	74	and	and	CCONJ
fbem-634	26	75	found	find	VERB
fbem-634	26	76	that	that	SCONJ
fbem-634	26	77	the	the	DET
fbem-634	26	78	asymmetric	asymmetric	ADJ
fbem-634	26	79	garch	garch	NOUN
fbem-634	26	80	model	model	NOUN
fbem-634	26	81	under	under	ADP
fbem-634	26	82	asymmetric	asymmetric	ADJ
fbem-634	26	83	information	information	NOUN
fbem-634	26	84	is	be	AUX
fbem-634	26	85	better	well	ADJ
fbem-634	26	86	than	than	ADP
fbem-634	26	87	the	the	DET
fbem-634	26	88	garch	garch	NOUN
fbem-634	26	89	(	(	PUNCT
fbem-634	26	90	1,1	1,1	NUM
fbem-634	26	91	)	)	PUNCT
fbem-634	26	92	model	model	NOUN
fbem-634	26	93	.	.	PUNCT
fbem-634	27	1	when	when	SCONJ
fbem-634	27	2	there	there	PRON
fbem-634	27	3	is	be	VERB
fbem-634	27	4	no	no	DET
fbem-634	27	5	information	information	NOUN
fbem-634	27	6	asymmetry	asymmetry	NOUN
fbem-634	27	7	,	,	PUNCT
fbem-634	27	8	the	the	DET
fbem-634	27	9	garch(2,1	garch(2,1	NOUN
fbem-634	27	10	)	)	PUNCT
fbem-634	27	11	model	model	NOUN
fbem-634	27	12	fits	fit	VERB
fbem-634	27	13	better.[10	better.[10	PROPN
fbem-634	27	14	]	]	PUNCT
fbem-634	27	15	in	in	ADP
fbem-634	27	16	addition	addition	NOUN
fbem-634	27	17	,	,	PUNCT
fbem-634	27	18	sabiruzzaman	sabiruzzaman	NOUN
fbem-634	27	19	et	et	PROPN
fbem-634	27	20	al	al	PROPN
fbem-634	27	21	.	.	PROPN
fbem-634	28	1	(	(	PUNCT
fbem-634	28	2	2010	2010	NUM
fbem-634	28	3	)	)	PUNCT
fbem-634	28	4	studied	study	VERB
fbem-634	28	5	the	the	DET
fbem-634	28	6	fluctuation	fluctuation	NOUN
fbem-634	28	7	law	law	NOUN
fbem-634	28	8	of	of	ADP
fbem-634	28	9	the	the	DET
fbem-634	28	10	daily	daily	ADJ
fbem-634	28	11	trading	trading	NOUN
fbem-634	28	12	volume	volume	NOUN
fbem-634	28	13	index	index	NOUN
fbem-634	28	14	of	of	ADP
fbem-634	28	15	the	the	DET
fbem-634	28	16	44	44	NUM
fbem-634	28	17	hong	hong	PROPN
fbem-634	28	18	kong	kong	PROPN
fbem-634	28	19	stock	stock	PROPN
fbem-634	28	20	exchange	exchange	PROPN
fbem-634	28	21	and	and	CCONJ
fbem-634	28	22	found	find	VERB
fbem-634	28	23	that	that	SCONJ
fbem-634	28	24	in	in	ADP
fbem-634	28	25	the	the	DET
fbem-634	28	26	presence	presence	NOUN
fbem-634	28	27	of	of	ADP
fbem-634	28	28	asymmetric	asymmetric	ADJ
fbem-634	28	29	effects	effect	NOUN
fbem-634	28	30	,	,	PUNCT
fbem-634	28	31	the	the	DET
fbem-634	28	32	tgarch	tgarch	NOUN
fbem-634	28	33	model	model	NOUN
fbem-634	28	34	can	can	AUX
fbem-634	28	35	describe	describe	VERB
fbem-634	28	36	the	the	DET
fbem-634	28	37	influence	influence	NOUN
fbem-634	28	38	of	of	ADP
fbem-634	28	39	positive	positive	ADJ
fbem-634	28	40	and	and	CCONJ
fbem-634	28	41	negative	negative	ADJ
fbem-634	28	42	information	information	NOUN
fbem-634	28	43	respectively	respectively	ADV
fbem-634	28	44	,	,	PUNCT
fbem-634	28	45	and	and	CCONJ
fbem-634	28	46	the	the	DET
fbem-634	28	47	fitting	fitting	ADJ
fbem-634	28	48	results	result	NOUN
fbem-634	28	49	are	be	AUX
fbem-634	28	50	better	well	ADJ
fbem-634	28	51	than	than	ADP
fbem-634	28	52	the	the	DET
fbem-634	28	53	garch	garch	NOUN
fbem-634	28	54	model	model	NOUN
fbem-634	28	55	.	.	PUNCT
fbem-634	29	1	the	the	DET
fbem-634	29	2	trading	trading	NOUN
fbem-634	29	3	volume	volume	NOUN
fbem-634	29	4	has	have	VERB
fbem-634	29	5	obvious	obvious	ADJ
fbem-634	29	6	leverage	leverage	NOUN
fbem-634	29	7	effect	effect	NOUN
fbem-634	29	8	,	,	PUNCT
fbem-634	29	9	indicating	indicate	VERB
fbem-634	29	10	that	that	SCONJ
fbem-634	29	11	the	the	DET
fbem-634	29	12	tgarch	tgarch	NOUN
fbem-634	29	13	model	model	NOUN
fbem-634	29	14	is	be	AUX
fbem-634	29	15	more	more	ADV
fbem-634	29	16	suitable	suitable	ADJ
fbem-634	29	17	for	for	ADP
fbem-634	29	18	describing	describe	VERB
fbem-634	29	19	the	the	DET
fbem-634	29	20	volatility	volatility	NOUN
fbem-634	29	21	of	of	ADP
fbem-634	29	22	trading	trading	NOUN
fbem-634	29	23	volume.[11	volume.[11	PROPN
fbem-634	29	24	]	]	PUNCT
fbem-634	29	25	girardin	girardin	NOUN
fbem-634	29	26	and	and	CCONJ
fbem-634	29	27	joyeux	joyeux	X
fbem-634	29	28	(	(	PUNCT
fbem-634	29	29	2013	2013	NUM
fbem-634	29	30	)	)	PUNCT
fbem-634	29	31	,	,	PUNCT
fbem-634	29	32	based	base	VERB
fbem-634	29	33	on	on	ADP
fbem-634	29	34	the	the	DET
fbem-634	29	35	garch	garch	NOUN
fbem-634	29	36	-	-	PUNCT
fbem-634	29	37	midas	midas	PROPN
fbem-634	29	38	model	model	NOUN
fbem-634	29	39	,	,	PUNCT
fbem-634	29	40	proved	prove	VERB
fbem-634	29	41	that	that	SCONJ
fbem-634	29	42	both	both	CCONJ
fbem-634	29	43	chinese	chinese	ADJ
fbem-634	29	44	a	a	PRON
fbem-634	29	45	and	and	CCONJ
fbem-634	29	46	b	b	NOUN
fbem-634	29	47	share	share	NOUN
fbem-634	29	48	markets	market	NOUN
fbem-634	29	49	are	be	AUX
fbem-634	29	50	speculative	speculative	ADJ
fbem-634	29	51	.	.	PUNCT
fbem-634	29	52	and	and	CCONJ
fbem-634	29	53	pointed	point	VERB
fbem-634	29	54	out	out	ADP
fbem-634	29	55	that	that	SCONJ
fbem-634	29	56	the	the	DET
fbem-634	29	57	macroeconomic	macroeconomic	ADJ
fbem-634	29	58	fundamentals	fundamental	NOUN
fbem-634	29	59	are	be	AUX
fbem-634	29	60	increasingly	increasingly	ADV
fbem-634	29	61	affected	affect	VERB
fbem-634	29	62	by	by	ADP
fbem-634	29	63	the	the	DET
fbem-634	29	64	volatility	volatility	NOUN
fbem-634	29	65	of	of	ADP
fbem-634	29	66	the	the	DET
fbem-634	29	67	stock	stock	NOUN
fbem-634	29	68	market	market	NOUN
fbem-634	29	69	,	,	PUNCT
fbem-634	29	70	especially	especially	ADV
fbem-634	29	71	the	the	DET
fbem-634	29	72	cpi	cpi	PROPN
fbem-634	29	73	inflation.[12	inflation.[12	PROPN
fbem-634	29	74	]	]	PUNCT
fbem-634	29	75	sharma	sharma	PROPN
fbem-634	29	76	and	and	CCONJ
fbem-634	29	77	vipul	vipul	PROPN
fbem-634	29	78	(	(	PUNCT
fbem-634	29	79	2016	2016	NUM
fbem-634	29	80	)	)	PUNCT
fbem-634	29	81	found	find	VERB
fbem-634	29	82	that	that	SCONJ
fbem-634	29	83	the	the	DET
fbem-634	29	84	realized	realize	VERB
fbem-634	29	85	garch	garch	NOUN
fbem-634	29	86	model	model	NOUN
fbem-634	29	87	had	have	VERB
fbem-634	29	88	better	well	ADJ
fbem-634	29	89	predictive	predictive	ADJ
fbem-634	29	90	ability	ability	NOUN
fbem-634	29	91	for	for	ADP
fbem-634	29	92	stock	stock	NOUN
fbem-634	29	93	market	market	NOUN
fbem-634	29	94	volatility.[13	volatility.[13	NOUN
fbem-634	29	95	]	]	PUNCT
fbem-634	29	96	to	to	PART
fbem-634	29	97	sum	sum	VERB
fbem-634	29	98	up	up	ADP
fbem-634	29	99	,	,	PUNCT
fbem-634	29	100	in	in	ADP
fbem-634	29	101	the	the	DET
fbem-634	29	102	past	past	ADJ
fbem-634	29	103	20	20	NUM
fbem-634	29	104	years	year	NOUN
fbem-634	29	105	,	,	PUNCT
fbem-634	29	106	a	a	DET
fbem-634	29	107	large	large	ADJ
fbem-634	29	108	number	number	NOUN
fbem-634	29	109	of	of	ADP
fbem-634	29	110	scholars	scholar	NOUN
fbem-634	29	111	have	have	AUX
fbem-634	29	112	used	use	VERB
fbem-634	29	113	the	the	DET
fbem-634	29	114	arch	arch	ADJ
fbem-634	29	115	model	model	NOUN
fbem-634	29	116	family	family	NOUN
fbem-634	29	117	to	to	PART
fbem-634	29	118	study	study	VERB
fbem-634	29	119	the	the	DET
fbem-634	29	120	volatility	volatility	NOUN
fbem-634	29	121	characteristics	characteristic	NOUN
fbem-634	29	122	of	of	ADP
fbem-634	29	123	the	the	DET
fbem-634	29	124	stock	stock	NOUN
fbem-634	29	125	market	market	NOUN
fbem-634	29	126	and	and	CCONJ
fbem-634	29	127	to	to	PART
fbem-634	29	128	predict	predict	VERB
fbem-634	29	129	its	its	PRON
fbem-634	29	130	volatility	volatility	NOUN
fbem-634	29	131	.	.	PUNCT
fbem-634	30	1	most	most	ADJ
fbem-634	30	2	studies	study	NOUN
fbem-634	30	3	show	show	VERB
fbem-634	30	4	that	that	SCONJ
fbem-634	30	5	the	the	DET
fbem-634	30	6	volatility	volatility	NOUN
fbem-634	30	7	of	of	ADP
fbem-634	30	8	china	china	PROPN
fbem-634	30	9	's	's	PART
fbem-634	30	10	stock	stock	NOUN
fbem-634	30	11	market	market	NOUN
fbem-634	30	12	is	be	AUX
fbem-634	30	13	generally	generally	ADV
fbem-634	30	14	leveraged	leverage	VERB
fbem-634	30	15	,	,	PUNCT
fbem-634	30	16	clustered	clustered	ADJ
fbem-634	30	17	and	and	CCONJ
fbem-634	30	18	persistent	persistent	ADJ
fbem-634	30	19	,	,	PUNCT
fbem-634	30	20	but	but	CCONJ
fbem-634	30	21	few	few	ADJ
fbem-634	30	22	authors	author	NOUN
fbem-634	30	23	conduct	conduct	VERB
fbem-634	30	24	research	research	NOUN
fbem-634	30	25	from	from	ADP
fbem-634	30	26	the	the	DET
fbem-634	30	27	perspective	perspective	NOUN
fbem-634	30	28	of	of	ADP
fbem-634	30	29	risk	risk	NOUN
fbem-634	30	30	premium	premium	NOUN
fbem-634	30	31	,	,	PUNCT
fbem-634	30	32	which	which	PRON
fbem-634	30	33	is	be	AUX
fbem-634	30	34	the	the	DET
fbem-634	30	35	new	new	ADJ
fbem-634	30	36	research	research	NOUN
fbem-634	30	37	perspective	perspective	NOUN
fbem-634	30	38	of	of	ADP
fbem-634	30	39	this	this	DET
fbem-634	30	40	paper	paper	NOUN
fbem-634	30	41	.	.	PUNCT
fbem-634	31	1	china	china	PROPN
fbem-634	31	2	's	's	PART
fbem-634	31	3	stock	stock	NOUN
fbem-634	31	4	market	market	NOUN
fbem-634	31	5	is	be	AUX
fbem-634	31	6	known	know	VERB
fbem-634	31	7	as	as	ADP
fbem-634	31	8	the	the	DET
fbem-634	31	9	"	"	PUNCT
fbem-634	31	10	barometer	barometer	NOUN
fbem-634	31	11	"	"	PUNCT
fbem-634	31	12	of	of	ADP
fbem-634	31	13	the	the	DET
fbem-634	31	14	national	national	ADJ
fbem-634	31	15	economy	economy	NOUN
fbem-634	31	16	.	.	PUNCT
fbem-634	32	1	with	with	ADP
fbem-634	32	2	the	the	DET
fbem-634	32	3	improvement	improvement	NOUN
fbem-634	32	4	of	of	ADP
fbem-634	32	5	china	china	PROPN
fbem-634	32	6	's	's	PART
fbem-634	32	7	stock	stock	NOUN
fbem-634	32	8	market	market	NOUN
fbem-634	32	9	,	,	PUNCT
fbem-634	32	10	especially	especially	ADV
fbem-634	32	11	in	in	ADP
fbem-634	32	12	recent	recent	ADJ
fbem-634	32	13	years	year	NOUN
fbem-634	32	14	,	,	PUNCT
fbem-634	32	15	a	a	DET
fbem-634	32	16	series	series	NOUN
fbem-634	32	17	of	of	ADP
fbem-634	32	18	major	major	ADJ
fbem-634	32	19	reforms	reform	NOUN
fbem-634	32	20	have	have	AUX
fbem-634	32	21	been	be	AUX
fbem-634	32	22	implemented	implement	VERB
fbem-634	32	23	,	,	PUNCT
fbem-634	32	24	such	such	ADJ
fbem-634	32	25	as	as	ADP
fbem-634	32	26	improving	improve	VERB
fbem-634	32	27	the	the	DET
fbem-634	32	28	stock	stock	NOUN
fbem-634	32	29	delisting	delisting	NOUN
fbem-634	32	30	system	system	NOUN
fbem-634	32	31	,	,	PUNCT
fbem-634	32	32	setting	set	VERB
fbem-634	32	33	up	up	ADP
fbem-634	32	34	the	the	DET
fbem-634	32	35	science	science	NOUN
fbem-634	32	36	and	and	CCONJ
fbem-634	32	37	technology	technology	NOUN
fbem-634	32	38	innovation	innovation	NOUN
fbem-634	32	39	board	board	NOUN
fbem-634	32	40	,	,	PUNCT
fbem-634	32	41	and	and	CCONJ
fbem-634	32	42	implementing	implement	VERB
fbem-634	32	43	the	the	DET
fbem-634	32	44	registration	registration	NOUN
fbem-634	32	45	system	system	NOUN
fbem-634	32	46	on	on	ADP
fbem-634	32	47	a	a	DET
fbem-634	32	48	trial	trial	NOUN
fbem-634	32	49	basis	basis	NOUN
fbem-634	32	50	,	,	PUNCT
fbem-634	32	51	whether	whether	SCONJ
fbem-634	32	52	the	the	DET
fbem-634	32	53	volatility	volatility	NOUN
fbem-634	32	54	characteristics	characteristic	NOUN
fbem-634	32	55	of	of	ADP
fbem-634	32	56	china	china	PROPN
fbem-634	32	57	's	's	PART
fbem-634	32	58	stock	stock	NOUN
fbem-634	32	59	market	market	NOUN
fbem-634	32	60	are	be	AUX
fbem-634	32	61	consistent	consistent	ADJ
fbem-634	32	62	with	with	ADP
fbem-634	32	63	the	the	DET
fbem-634	32	64	research	research	NOUN
fbem-634	32	65	results	result	NOUN
fbem-634	32	66	of	of	ADP
fbem-634	32	67	a	a	DET
fbem-634	32	68	large	large	ADJ
fbem-634	32	69	number	number	NOUN
fbem-634	32	70	of	of	ADP
fbem-634	32	71	scholars	scholar	NOUN
fbem-634	32	72	on	on	ADP
fbem-634	32	73	the	the	DET
fbem-634	32	74	volatility	volatility	NOUN
fbem-634	32	75	characteristics	characteristic	NOUN
fbem-634	32	76	of	of	ADP
fbem-634	32	77	china	china	PROPN
fbem-634	32	78	's	's	PART
fbem-634	32	79	stock	stock	NOUN
fbem-634	32	80	market	market	NOUN
fbem-634	32	81	in	in	ADP
fbem-634	32	82	the	the	DET
fbem-634	32	83	early	early	ADJ
fbem-634	32	84	years	year	NOUN
fbem-634	32	85	is	be	AUX
fbem-634	32	86	worth	worth	ADJ
fbem-634	32	87	exploring	explore	VERB
fbem-634	32	88	.	.	PUNCT
fbem-634	33	1	from	from	ADP
fbem-634	33	2	the	the	DET
fbem-634	33	3	perspective	perspective	NOUN
fbem-634	33	4	of	of	ADP
fbem-634	33	5	china	china	PROPN
fbem-634	33	6	's	's	PART
fbem-634	33	7	stock	stock	NOUN
fbem-634	33	8	market	market	NOUN
fbem-634	33	9	,	,	PUNCT
fbem-634	33	10	the	the	DET
fbem-634	33	11	listed	list	VERB
fbem-634	33	12	companies	company	NOUN
fbem-634	33	13	on	on	ADP
fbem-634	33	14	the	the	DET
fbem-634	33	15	shanghai	shanghai	PROPN
fbem-634	33	16	stock	stock	PROPN
fbem-634	33	17	exchange	exchange	PROPN
fbem-634	33	18	have	have	VERB
fbem-634	33	19	large	large	ADJ
fbem-634	33	20	market	market	NOUN
fbem-634	33	21	capitalization	capitalization	NOUN
fbem-634	33	22	and	and	CCONJ
fbem-634	33	23	large	large	ADJ
fbem-634	33	24	trading	trading	NOUN
fbem-634	33	25	volume	volume	NOUN
fbem-634	33	26	.	.	PUNCT
fbem-634	34	1	the	the	DET
fbem-634	34	2	shanghai	shanghai	PROPN
fbem-634	34	3	stock	stock	PROPN
fbem-634	34	4	exchange	exchange	PROPN
fbem-634	34	5	relatively	relatively	ADV
fbem-634	34	6	more	more	ADV
fbem-634	34	7	accurately	accurately	ADV
fbem-634	34	8	reflects	reflect	VERB
fbem-634	34	9	china	china	PROPN
fbem-634	34	10	's	's	PART
fbem-634	34	11	stock	stock	NOUN
fbem-634	34	12	market	market	NOUN
fbem-634	34	13	conditions	condition	NOUN
fbem-634	34	14	and	and	CCONJ
fbem-634	34	15	is	be	AUX
fbem-634	34	16	more	more	ADV
fbem-634	34	17	sensitive	sensitive	ADJ
fbem-634	34	18	to	to	ADP
fbem-634	34	19	various	various	ADJ
fbem-634	34	20	shocks	shock	NOUN
fbem-634	34	21	.	.	PUNCT
fbem-634	35	1	therefore	therefore	ADV
fbem-634	35	2	,	,	PUNCT
fbem-634	35	3	on	on	ADP
fbem-634	35	4	the	the	DET
fbem-634	35	5	basis	basis	NOUN
fbem-634	35	6	of	of	ADP
fbem-634	35	7	reviewing	review	VERB
fbem-634	35	8	the	the	DET
fbem-634	35	9	relevant	relevant	ADJ
fbem-634	35	10	literatures	literature	NOUN
fbem-634	35	11	using	use	VERB
fbem-634	35	12	the	the	DET
fbem-634	35	13	arch	arch	ADJ
fbem-634	35	14	model	model	NOUN
fbem-634	35	15	family	family	NOUN
fbem-634	35	16	to	to	PART
fbem-634	35	17	study	study	VERB
fbem-634	35	18	the	the	DET
fbem-634	35	19	stock	stock	NOUN
fbem-634	35	20	market	market	NOUN
fbem-634	35	21	,	,	PUNCT
fbem-634	35	22	this	this	DET
fbem-634	35	23	paper	paper	NOUN
fbem-634	35	24	uses	use	VERB
fbem-634	35	25	the	the	DET
fbem-634	35	26	arch	arch	ADJ
fbem-634	35	27	model	model	NOUN
fbem-634	35	28	family	family	NOUN
fbem-634	35	29	to	to	PART
fbem-634	35	30	study	study	VERB
fbem-634	35	31	and	and	CCONJ
fbem-634	35	32	analyze	analyze	VERB
fbem-634	35	33	the	the	DET
fbem-634	35	34	volatility	volatility	NOUN
fbem-634	35	35	characteristics	characteristic	NOUN
fbem-634	35	36	of	of	ADP
fbem-634	35	37	the	the	DET
fbem-634	35	38	shanghai	shanghai	PROPN
fbem-634	35	39	stock	stock	NOUN
fbem-634	35	40	market	market	NOUN
fbem-634	35	41	,	,	PUNCT
fbem-634	35	42	and	and	CCONJ
fbem-634	35	43	increase	increase	VERB
fbem-634	35	44	the	the	DET
fbem-634	35	45	research	research	NOUN
fbem-634	35	46	perspective	perspective	NOUN
fbem-634	35	47	of	of	ADP
fbem-634	35	48	risk	risk	NOUN
fbem-634	35	49	premium	premium	NOUN
fbem-634	35	50	.	.	PUNCT
fbem-634	36	1	use	use	VERB
fbem-634	36	2	ordinary	ordinary	ADJ
fbem-634	36	3	arch	arch	ADJ
fbem-634	36	4	model	model	NOUN
fbem-634	36	5	,	,	PUNCT
fbem-634	36	6	garch	garch	NOUN
fbem-634	36	7	model	model	NOUN
fbem-634	36	8	,	,	PUNCT
fbem-634	36	9	garch	garch	NOUN
fbem-634	36	10	-	-	PUNCT
fbem-634	36	11	m	m	NOUN
fbem-634	36	12	model	model	NOUN
fbem-634	36	13	,	,	PUNCT
fbem-634	36	14	tgarch	tgarch	NOUN
fbem-634	36	15	model	model	NOUN
fbem-634	36	16	and	and	CCONJ
fbem-634	36	17	egarch	egarch	NOUN
fbem-634	36	18	model	model	NOUN
fbem-634	36	19	to	to	PART
fbem-634	36	20	study	study	VERB
fbem-634	36	21	the	the	DET
fbem-634	36	22	clustering	clustering	NOUN
fbem-634	36	23	,	,	PUNCT
fbem-634	36	24	persistence	persistence	NOUN
fbem-634	36	25	,	,	PUNCT
fbem-634	36	26	risk	risk	NOUN
fbem-634	36	27	premium	premium	NOUN
fbem-634	36	28	level	level	NOUN
fbem-634	36	29	and	and	CCONJ
fbem-634	36	30	leverage	leverage	NOUN
fbem-634	36	31	effect	effect	NOUN
fbem-634	36	32	of	of	ADP
fbem-634	36	33	shanghai	shanghai	PROPN
fbem-634	36	34	stock	stock	PROPN
fbem-634	36	35	market	market	NOUN
fbem-634	36	36	volatility	volatility	NOUN
fbem-634	36	37	step	step	NOUN
fbem-634	36	38	by	by	ADP
fbem-634	36	39	step	step	NOUN
fbem-634	36	40	.	.	PUNCT
fbem-634	37	1	3	3	X
fbem-634	37	2	.	.	X
fbem-634	37	3	arch	arch	ADJ
fbem-634	37	4	model	model	PROPN
fbem-634	37	5	family	family	PROPN
fbem-634	37	6	3.1	3.1	NUM
fbem-634	37	7	.	.	PUNCT
fbem-634	37	8	arch	arch	ADJ
fbem-634	37	9	model	model	NOUN
fbem-634	37	10	the	the	DET
fbem-634	37	11	expression	expression	NOUN
fbem-634	37	12	of	of	ADP
fbem-634	37	13	the	the	DET
fbem-634	37	14	arch	arch	ADJ
fbem-634	37	15	model	model	NOUN
fbem-634	37	16	is	be	AUX
fbem-634	37	17	:	:	PUNCT
fbem-634	37	18	⋯	⋯	PROPN
fbem-634	37	19	⋯	⋯	PROPN
fbem-634	37	20	(	(	PUNCT
fbem-634	37	21	1	1	NUM
fbem-634	37	22	)	)	PUNCT
fbem-634	37	23	0	0	NUM
fbem-634	37	24	;	;	PUNCT
fbem-634	37	25	,	,	PUNCT
fbem-634	37	26	,	,	PUNCT
fbem-634	37	27	…	…	PUNCT
fbem-634	37	28	,	,	PUNCT
fbem-634	37	29	≥0	≥0	NOUN
fbem-634	37	30	;	;	PUNCT
fbem-634	37	31	∑	∑	PROPN
fbem-634	37	32	1	1	NUM
fbem-634	37	33	,	,	PUNCT
fbem-634	37	34	1,2	1,2	NUM
fbem-634	37	35	,	,	PUNCT
fbem-634	37	36	…	…	PUNCT
fbem-634	37	37	,	,	PUNCT
fbem-634	37	38	the	the	DET
fbem-634	37	39	first	first	ADJ
fbem-634	37	40	formula	formula	NOUN
fbem-634	37	41	is	be	AUX
fbem-634	37	42	the	the	DET
fbem-634	37	43	mean	mean	ADJ
fbem-634	37	44	value	value	NOUN
fbem-634	37	45	equation	equation	NOUN
fbem-634	37	46	,	,	PUNCT
fbem-634	37	47	and	and	CCONJ
fbem-634	37	48	the	the	DET
fbem-634	37	49	second	second	ADJ
fbem-634	37	50	formula	formula	NOUN
fbem-634	37	51	is	be	AUX
fbem-634	37	52	the	the	DET
fbem-634	37	53	variance	variance	NOUN
fbem-634	37	54	equation	equation	NOUN
fbem-634	37	55	,	,	PUNCT
fbem-634	37	56	and	and	CCONJ
fbem-634	37	57	various	various	ADJ
fbem-634	37	58	arch	arch	ADJ
fbem-634	37	59	models	model	NOUN
fbem-634	37	60	that	that	PRON
fbem-634	37	61	appear	appear	VERB
fbem-634	37	62	later	later	ADV
fbem-634	37	63	are	be	AUX
fbem-634	37	64	extended	extend	VERB
fbem-634	37	65	on	on	ADP
fbem-634	37	66	this	this	DET
fbem-634	37	67	basis	basis	NOUN
fbem-634	37	68	.	.	PUNCT
fbem-634	38	1	(	(	PUNCT
fbem-634	38	2	1	1	X
fbem-634	38	3	)	)	PUNCT
fbem-634	38	4	is	be	AUX
fbem-634	38	5	the	the	DET
fbem-634	38	6	arch(q	arch(q	NOUN
fbem-634	38	7	)	)	PUNCT
fbem-634	38	8	model	model	NOUN
fbem-634	38	9	.	.	PUNCT
fbem-634	39	1	the	the	DET
fbem-634	39	2	limitation	limitation	NOUN
fbem-634	39	3	of	of	ADP
fbem-634	39	4	the	the	DET
fbem-634	39	5	basic	basic	ADJ
fbem-634	39	6	arch	arch	ADJ
fbem-634	39	7	model	model	NOUN
fbem-634	39	8	is	be	AUX
fbem-634	39	9	that	that	SCONJ
fbem-634	39	10	for	for	SCONJ
fbem-634	39	11	the	the	DET
fbem-634	39	12	conditional	conditional	ADJ
fbem-634	39	13	variance	variance	NOUN
fbem-634	39	14	to	to	PART
fbem-634	39	15	be	be	AUX
fbem-634	39	16	always	always	ADV
fbem-634	39	17	positive	positive	ADJ
fbem-634	39	18	,	,	PUNCT
fbem-634	39	19	must	must	AUX
fbem-634	39	20	be	be	AUX
fbem-634	39	21	non	non	ADJ
fbem-634	39	22	-	-	ADJ
fbem-634	39	23	negative	negative	ADJ
fbem-634	39	24	.	.	PUNCT
fbem-634	40	1	since	since	SCONJ
fbem-634	40	2	the	the	DET
fbem-634	40	3	variance	variance	NOUN
fbem-634	40	4	equation	equation	NOUN
fbem-634	40	5	often	often	ADV
fbem-634	40	6	has	have	VERB
fbem-634	40	7	a	a	DET
fbem-634	40	8	high	high	ADJ
fbem-634	40	9	lag	lag	NOUN
fbem-634	40	10	order	order	NOUN
fbem-634	40	11	in	in	ADP
fbem-634	40	12	practical	practical	ADJ
fbem-634	40	13	applications	application	NOUN
fbem-634	40	14	,	,	PUNCT
fbem-634	40	15	these	these	DET
fbem-634	40	16	constraints	constraint	NOUN
fbem-634	40	17	may	may	AUX
fbem-634	40	18	not	not	PART
fbem-634	40	19	be	be	AUX
fbem-634	40	20	met	meet	VERB
fbem-634	40	21	when	when	SCONJ
fbem-634	40	22	estimating	estimate	VERB
fbem-634	40	23	parameters	parameter	NOUN
fbem-634	40	24	.	.	PUNCT
fbem-634	41	1	since	since	SCONJ
fbem-634	41	2	the	the	DET
fbem-634	41	3	variance	variance	NOUN
fbem-634	41	4	equation	equation	NOUN
fbem-634	41	5	in	in	ADP
fbem-634	41	6	formula	formula	NOUN
fbem-634	41	7	(	(	PUNCT
fbem-634	41	8	1	1	X
fbem-634	41	9	)	)	PUNCT
fbem-634	41	10	is	be	AUX
fbem-634	41	11	a	a	DET
fbem-634	41	12	distributed	distribute	VERB
fbem-634	41	13	lag	lag	NOUN
fbem-634	41	14	model	model	NOUN
fbem-634	41	15	of	of	ADP
fbem-634	41	16	,	,	PUNCT
fbem-634	41	17	it	it	PRON
fbem-634	41	18	is	be	AUX
fbem-634	41	19	considered	consider	VERB
fbem-634	41	20	to	to	PART
fbem-634	41	21	replace	replace	VERB
fbem-634	41	22	the	the	DET
fbem-634	41	23	lag	lag	NOUN
fbem-634	41	24	value	value	NOUN
fbem-634	41	25	of	of	ADP
fbem-634	41	26	the	the	DET
fbem-634	41	27	random	random	ADJ
fbem-634	41	28	error	error	NOUN
fbem-634	41	29	square	square	ADJ
fbem-634	41	30	term	term	NOUN
fbem-634	41	31	with	with	ADP
fbem-634	41	32	one	one	NUM
fbem-634	41	33	or	or	CCONJ
fbem-634	41	34	more	more	ADJ
fbem-634	41	35	lag	lag	NOUN
fbem-634	41	36	orders	order	NOUN
fbem-634	41	37	of	of	ADP
fbem-634	41	38	to	to	PART
fbem-634	41	39	reduce	reduce	VERB
fbem-634	41	40	the	the	DET
fbem-634	41	41	number	number	NOUN
fbem-634	41	42	of	of	ADP
fbem-634	41	43	parameters	parameter	NOUN
fbem-634	41	44	and	and	CCONJ
fbem-634	41	45	relax	relax	VERB
fbem-634	41	46	the	the	DET
fbem-634	41	47	coefficient	coefficient	NOUN
fbem-634	41	48	constraints	constraint	NOUN
fbem-634	41	49	.	.	PUNCT
fbem-634	42	1	that	that	PRON
fbem-634	42	2	is	is	ADV
fbem-634	42	3	,	,	PUNCT
fbem-634	42	4	the	the	DET
fbem-634	42	5	garch	garch	NOUN
fbem-634	42	6	model	model	NOUN
fbem-634	42	7	is	be	AUX
fbem-634	42	8	obtained	obtain	VERB
fbem-634	42	9	.	.	PUNCT
fbem-634	43	1	3.2	3.2	NUM
fbem-634	43	2	.	.	PUNCT
fbem-634	44	1	garch	garch	NOUN
fbem-634	44	2	model	model	NOUN
fbem-634	44	3	based	base	VERB
fbem-634	44	4	on	on	ADP
fbem-634	44	5	the	the	DET
fbem-634	44	6	limitations	limitation	NOUN
fbem-634	44	7	of	of	ADP
fbem-634	44	8	the	the	DET
fbem-634	44	9	arch	arch	ADJ
fbem-634	44	10	model	model	NOUN
fbem-634	44	11	on	on	ADP
fbem-634	44	12	parameter	parameter	NOUN
fbem-634	44	13	constraints	constraint	NOUN
fbem-634	44	14	,	,	PUNCT
fbem-634	44	15	the	the	DET
fbem-634	44	16	arch	arch	ADJ
fbem-634	44	17	model	model	NOUN
fbem-634	44	18	is	be	AUX
fbem-634	44	19	improved	improve	VERB
fbem-634	44	20	,	,	PUNCT
fbem-634	44	21	and	and	CCONJ
fbem-634	44	22	the	the	DET
fbem-634	44	23	garch	garch	NOUN
fbem-634	44	24	model	model	NOUN
fbem-634	44	25	after	after	ADP
fbem-634	44	26	the	the	DET
fbem-634	44	27	generalization	generalization	NOUN
fbem-634	44	28	of	of	ADP
fbem-634	44	29	the	the	DET
fbem-634	44	30	arch	arch	ADJ
fbem-634	44	31	model	model	NOUN
fbem-634	44	32	reduces	reduce	VERB
fbem-634	44	33	the	the	DET
fbem-634	44	34	requirements	requirement	NOUN
fbem-634	44	35	for	for	ADP
fbem-634	44	36	parameters	parameter	NOUN
fbem-634	44	37	,	,	PUNCT
fbem-634	44	38	and	and	CCONJ
fbem-634	44	39	its	its	PRON
fbem-634	44	40	expression	expression	NOUN
fbem-634	44	41	is	be	AUX
fbem-634	44	42	:	:	PUNCT
fbem-634	44	43	⋯	⋯	VERB
fbem-634	44	44	∑	∑	PROPN
fbem-634	44	45	∑	∑	PROPN
fbem-634	44	46	(	(	PUNCT
fbem-634	44	47	2	2	NUM
fbem-634	44	48	)	)	PUNCT
fbem-634	44	49	0	0	NUM
fbem-634	44	50	;	;	PUNCT
fbem-634	45	1	0	0	NUM
fbem-634	45	2	1,2	1,2	NUM
fbem-634	45	3	,	,	PUNCT
fbem-634	45	4	…	…	PUNCT
fbem-634	45	5	,	,	PUNCT
fbem-634	45	6	,	,	PUNCT
fbem-634	45	7	≥0	≥0	NOUN
fbem-634	45	8	1,2	1,2	NUM
fbem-634	45	9	,	,	PUNCT
fbem-634	45	10	…	…	PUNCT
fbem-634	45	11	,	,	PUNCT
fbem-634	45	12	m	m	VERB
fbem-634	45	13	∑	∑	ADJ
fbem-634	45	14	∑	∑	PROPN
fbem-634	45	15	1	1	NUM
fbem-634	45	16	this	this	DET
fbem-634	45	17	model	model	NOUN
fbem-634	45	18	is	be	AUX
fbem-634	45	19	called	call	VERB
fbem-634	45	20	the	the	DET
fbem-634	45	21	garch(p	garch(p	PROPN
fbem-634	45	22	,	,	PUNCT
fbem-634	45	23	q	q	NOUN
fbem-634	45	24	)	)	PUNCT
fbem-634	45	25	model	model	NOUN
fbem-634	45	26	.	.	PUNCT
fbem-634	46	1	in	in	ADP
fbem-634	46	2	the	the	DET
fbem-634	46	3	variance	variance	NOUN
fbem-634	46	4	equation	equation	NOUN
fbem-634	46	5	,	,	PUNCT
fbem-634	46	6	the	the	DET
fbem-634	46	7	term	term	NOUN
fbem-634	46	8	is	be	AUX
fbem-634	46	9	the	the	DET
fbem-634	46	10	arch	arch	ADJ
fbem-634	46	11	term	term	NOUN
fbem-634	46	12	,	,	PUNCT
fbem-634	46	13	reflecting	reflect	VERB
fbem-634	46	14	the	the	DET
fbem-634	46	15	lag	lag	NOUN
fbem-634	46	16	effect	effect	NOUN
fbem-634	46	17	of	of	ADP
fbem-634	46	18	previous	previous	ADJ
fbem-634	46	19	information	information	NOUN
fbem-634	46	20	;	;	PUNCT
fbem-634	46	21	the	the	DET
fbem-634	46	22	term	term	NOUN
fbem-634	46	23	is	be	AUX
fbem-634	46	24	the	the	DET
fbem-634	46	25	garch	garch	NOUN
fbem-634	46	26	term	term	NOUN
fbem-634	46	27	,	,	PUNCT
fbem-634	46	28	that	that	ADV
fbem-634	46	29	is	is	ADV
fbem-634	46	30	,	,	PUNCT
fbem-634	46	31	the	the	DET
fbem-634	46	32	previous	previous	ADJ
fbem-634	46	33	conditional	conditional	ADJ
fbem-634	46	34	variance	variance	NOUN
fbem-634	46	35	.	.	PUNCT
fbem-634	47	1	the	the	DET
fbem-634	47	2	lag	lag	NOUN
fbem-634	47	3	order	order	NOUN
fbem-634	47	4	of	of	ADP
fbem-634	47	5	the	the	DET
fbem-634	47	6	garch	garch	NOUN
fbem-634	47	7	model	model	NOUN
fbem-634	47	8	is	be	AUX
fbem-634	47	9	reduced	reduce	VERB
fbem-634	47	10	,	,	PUNCT
fbem-634	47	11	the	the	DET
fbem-634	47	12	number	number	NOUN
fbem-634	47	13	of	of	ADP
fbem-634	47	14	parameters	parameter	NOUN
fbem-634	47	15	is	be	AUX
fbem-634	47	16	reduced	reduce	VERB
fbem-634	47	17	,	,	PUNCT
fbem-634	47	18	and	and	CCONJ
fbem-634	47	19	the	the	DET
fbem-634	47	20	coefficient	coefficient	NOUN
fbem-634	47	21	requirements	requirement	NOUN
fbem-634	47	22	are	be	AUX
fbem-634	47	23	reduced	reduce	VERB
fbem-634	47	24	.	.	PUNCT
fbem-634	48	1	3.3	3.3	NUM
fbem-634	48	2	.	.	PUNCT
fbem-634	48	3	garch	garch	NOUN
fbem-634	48	4	-	-	PUNCT
fbem-634	48	5	m	m	PROPN
fbem-634	48	6	model	model	NOUN
fbem-634	48	7	financial	financial	ADJ
fbem-634	48	8	markets	market	NOUN
fbem-634	48	9	generally	generally	ADV
fbem-634	48	10	believe	believe	VERB
fbem-634	48	11	that	that	SCONJ
fbem-634	48	12	the	the	DET
fbem-634	48	13	risk	risk	NOUN
fbem-634	48	14	of	of	ADP
fbem-634	48	15	financial	financial	ADJ
fbem-634	48	16	assets	asset	NOUN
fbem-634	48	17	is	be	AUX
fbem-634	48	18	proportional	proportional	ADJ
fbem-634	48	19	to	to	ADP
fbem-634	48	20	the	the	DET
fbem-634	48	21	return	return	NOUN
fbem-634	48	22	.	.	PUNCT
fbem-634	49	1	risk	risk	NOUN
fbem-634	49	2	premium	premium	NOUN
fbem-634	49	3	refers	refer	VERB
fbem-634	49	4	to	to	ADP
fbem-634	49	5	the	the	DET
fbem-634	49	6	high	high	ADJ
fbem-634	49	7	return	return	NOUN
fbem-634	49	8	required	require	VERB
fbem-634	49	9	by	by	ADP
fbem-634	49	10	investors	investor	NOUN
fbem-634	49	11	to	to	PART
fbem-634	49	12	offset	offset	VERB
fbem-634	49	13	the	the	DET
fbem-634	49	14	high	high	ADJ
fbem-634	49	15	risk	risk	NOUN
fbem-634	49	16	they	they	PRON
fbem-634	49	17	take	take	VERB
fbem-634	49	18	,	,	PUNCT
fbem-634	49	19	and	and	CCONJ
fbem-634	49	20	the	the	DET
fbem-634	49	21	variance	variance	NOUN
fbem-634	49	22	or	or	CCONJ
fbem-634	49	23	standard	standard	ADJ
fbem-634	49	24	deviation	deviation	NOUN
fbem-634	49	25	of	of	ADP
fbem-634	49	26	the	the	DET
fbem-634	49	27	index	index	NOUN
fbem-634	49	28	series	series	NOUN
fbem-634	49	29	can	can	AUX
fbem-634	49	30	be	be	AUX
fbem-634	49	31	used	use	VERB
fbem-634	49	32	to	to	PART
fbem-634	49	33	characterize	characterize	VERB
fbem-634	49	34	their	their	PRON
fbem-634	49	35	risk	risk	NOUN
fbem-634	49	36	level	level	NOUN
fbem-634	49	37	.	.	PUNCT
fbem-634	50	1	taking	take	VERB
fbem-634	50	2	into	into	ADP
fbem-634	50	3	account	account	NOUN
fbem-634	50	4	the	the	DET
fbem-634	50	5	conditional	conditional	ADJ
fbem-634	50	6	variance	variance	NOUN
fbem-634	50	7	of	of	ADP
fbem-634	50	8	returns	return	NOUN
fbem-634	50	9	to	to	PART
fbem-634	50	10	express	express	VERB
fbem-634	50	11	expected	expect	VERB
fbem-634	50	12	risk	risk	NOUN
fbem-634	50	13	and	and	CCONJ
fbem-634	50	14	as	as	ADP
fbem-634	50	15	an	an	DET
fbem-634	50	16	additional	additional	ADJ
fbem-634	50	17	regressor	regressor	NOUN
fbem-634	50	18	yields	yield	VERB
fbem-634	50	19	an	an	DET
fbem-634	50	20	arch	arch	ADJ
fbem-634	50	21	-	-	PUNCT
fbem-634	50	22	m	m	NOUN
fbem-634	50	23	model	model	NOUN
fbem-634	50	24	(	(	PUNCT
fbem-634	50	25	or	or	CCONJ
fbem-634	50	26	an	an	DET
fbem-634	50	27	arch	arch	ADJ
fbem-634	50	28	mean	mean	NOUN
fbem-634	50	29	model	model	NOUN
fbem-634	50	30	)	)	PUNCT
fbem-634	50	31	.	.	PUNCT
fbem-634	51	1	a	a	DET
fbem-634	51	2	more	more	ADV
fbem-634	51	3	general	general	ADJ
fbem-634	51	4	garch	garch	NOUN
fbem-634	51	5	-	-	PUNCT
fbem-634	51	6	m	m	NOUN
fbem-634	51	7	model	model	NOUN
fbem-634	51	8	is	be	AUX
fbem-634	51	9	used	use	VERB
fbem-634	51	10	to	to	PART
fbem-634	51	11	describe	describe	VERB
fbem-634	51	12	the	the	DET
fbem-634	51	13	relationship	relationship	NOUN
fbem-634	51	14	between	between	ADP
fbem-634	51	15	risk	risk	NOUN
fbem-634	51	16	and	and	CCONJ
fbem-634	51	17	return	return	NOUN
fbem-634	51	18	.	.	PUNCT
fbem-634	52	1	its	its	PRON
fbem-634	52	2	expression	expression	NOUN
fbem-634	52	3	is	be	AUX
fbem-634	52	4	:	:	PUNCT
fbem-634	52	5	⋯	⋯	VERB
fbem-634	52	6	∑	∑	PROPN
fbem-634	52	7	∑	∑	PROPN
fbem-634	52	8	(	(	PUNCT
fbem-634	52	9	3	3	NUM
fbem-634	52	10	)	)	PUNCT
fbem-634	52	11	0	0	NUM
fbem-634	52	12	;	;	PUNCT
fbem-634	52	13	0	0	NUM
fbem-634	52	14	1,2	1,2	NUM
fbem-634	52	15	,	,	PUNCT
fbem-634	52	16	…	…	PUNCT
fbem-634	52	17	,	,	PUNCT
fbem-634	52	18	,	,	PUNCT
fbem-634	52	19	≥0	≥0	NOUN
fbem-634	52	20	1,2	1,2	NUM
fbem-634	52	21	,	,	PUNCT
fbem-634	52	22	…	…	PUNCT
fbem-634	52	23	,	,	PUNCT
fbem-634	52	24	,	,	PUNCT
fbem-634	52	25	∑	∑	ADP
fbem-634	52	26	∑	∑	PROPN
fbem-634	52	27	1	1	NUM
fbem-634	52	28	where	where	SCONJ
fbem-634	52	29	c	c	NOUN
fbem-634	52	30	represents	represent	VERB
fbem-634	52	31	the	the	DET
fbem-634	52	32	risk	risk	NOUN
fbem-634	52	33	premium	premium	NOUN
fbem-634	52	34	parameter	parameter	NOUN
fbem-634	52	35	.	.	PUNCT
fbem-634	53	1	generally	generally	ADV
fbem-634	53	2	,	,	PUNCT
fbem-634	53	3	when	when	SCONJ
fbem-634	53	4	c>0	c>0	NOUN
fbem-634	53	5	,	,	PUNCT
fbem-634	53	6	the	the	DET
fbem-634	53	7	return	return	NOUN
fbem-634	53	8	of	of	ADP
fbem-634	53	9	financial	financial	ADJ
fbem-634	53	10	assets	asset	NOUN
fbem-634	53	11	is	be	AUX
fbem-634	53	12	proportional	proportional	ADJ
fbem-634	53	13	to	to	ADP
fbem-634	53	14	its	its	PRON
fbem-634	53	15	volatility	volatility	NOUN
fbem-634	53	16	.	.	PUNCT
fbem-634	54	1	the	the	DET
fbem-634	54	2	typical	typical	ADJ
fbem-634	54	3	garch(1,1)-m	garch(1,1)-m	NOUN
fbem-634	54	4	model	model	NOUN
fbem-634	54	5	is	be	AUX
fbem-634	54	6	widely	widely	ADV
fbem-634	54	7	used	use	VERB
fbem-634	54	8	to	to	PART
fbem-634	54	9	describe	describe	VERB
fbem-634	54	10	the	the	DET
fbem-634	54	11	relationship	relationship	NOUN
fbem-634	54	12	between	between	ADP
fbem-634	54	13	the	the	DET
fbem-634	54	14	stock	stock	NOUN
fbem-634	54	15	market	market	NOUN
fbem-634	54	16	's	's	PART
fbem-634	54	17	return	return	NOUN
fbem-634	54	18	and	and	CCONJ
fbem-634	54	19	its	its	PRON
fbem-634	54	20	volatility	volatility	NOUN
fbem-634	54	21	.	.	PUNCT
fbem-634	55	1	of	of	ADP
fbem-634	55	2	course	course	NOUN
fbem-634	55	3	,	,	PUNCT
fbem-634	55	4	the	the	DET
fbem-634	55	5	conditional	conditional	ADJ
fbem-634	55	6	variance	variance	NOUN
fbem-634	55	7	in	in	ADP
fbem-634	55	8	the	the	DET
fbem-634	55	9	model	model	NOUN
fbem-634	55	10	can	can	AUX
fbem-634	55	11	also	also	ADV
fbem-634	55	12	be	be	AUX
fbem-634	55	13	replaced	replace	VERB
fbem-634	55	14	by	by	ADP
fbem-634	55	15	its	its	PRON
fbem-634	55	16	standard	standard	ADJ
fbem-634	55	17	deviation	deviation	NOUN
fbem-634	55	18	or	or	CCONJ
fbem-634	55	19	ln	ln	NOUN
fbem-634	55	20	after	after	ADP
fbem-634	55	21	taking	take	VERB
fbem-634	55	22	the	the	DET
fbem-634	55	23	logarithm	logarithm	NOUN
fbem-634	55	24	.	.	PUNCT
fbem-634	56	1	3.4	3.4	NUM
fbem-634	56	2	.	.	PUNCT
fbem-634	56	3	tgarch	tgarch	NOUN
fbem-634	56	4	model	model	NOUN
fbem-634	56	5	and	and	CCONJ
fbem-634	56	6	egarch	egarch	NOUN
fbem-634	56	7	model	model	NOUN
fbem-634	56	8	different	different	ADJ
fbem-634	56	9	types	type	NOUN
fbem-634	56	10	of	of	ADP
fbem-634	56	11	events	event	NOUN
fbem-634	56	12	in	in	ADP
fbem-634	56	13	the	the	DET
fbem-634	56	14	capital	capital	NOUN
fbem-634	56	15	market	market	NOUN
fbem-634	56	16	have	have	VERB
fbem-634	56	17	different	different	ADJ
fbem-634	56	18	degrees	degree	NOUN
fbem-634	56	19	of	of	ADP
fbem-634	56	20	impact	impact	NOUN
fbem-634	56	21	on	on	ADP
fbem-634	56	22	asset	asset	NOUN
fbem-634	56	23	price	price	NOUN
fbem-634	56	24	changes	change	NOUN
fbem-634	56	25	.	.	PUNCT
fbem-634	57	1	"	"	PUNCT
fbem-634	57	2	good	good	ADJ
fbem-634	57	3	news	news	NOUN
fbem-634	57	4	"	"	PUNCT
fbem-634	57	5	and	and	CCONJ
fbem-634	57	6	the	the	DET
fbem-634	57	7	same	same	ADJ
fbem-634	57	8	amount	amount	NOUN
fbem-634	57	9	of	of	ADP
fbem-634	57	10	"	"	PUNCT
fbem-634	57	11	bad	bad	ADJ
fbem-634	57	12	news	news	NOUN
fbem-634	57	13	"	"	PUNCT
fbem-634	57	14	make	make	VERB
fbem-634	57	15	assets	asset	NOUN
fbem-634	57	16	rise	rise	VERB
fbem-634	57	17	and	and	CCONJ
fbem-634	57	18	fall	fall	VERB
fbem-634	57	19	differently	differently	ADV
fbem-634	57	20	,	,	PUNCT
fbem-634	57	21	that	that	ADV
fbem-634	57	22	is	is	ADV
fbem-634	57	23	,	,	PUNCT
fbem-634	57	24	there	there	PRON
fbem-634	57	25	is	be	VERB
fbem-634	57	26	asymmetry	asymmetry	NOUN
fbem-634	57	27	in	in	ADP
fbem-634	57	28	the	the	DET
fbem-634	57	29	impact	impact	NOUN
fbem-634	57	30	of	of	ADP
fbem-634	57	31	information	information	NOUN
fbem-634	57	32	,	,	PUNCT
fbem-634	57	33	and	and	CCONJ
fbem-634	57	34	this	this	DET
fbem-634	57	35	asymmetry	asymmetry	NOUN
fbem-634	57	36	is	be	AUX
fbem-634	57	37	the	the	DET
fbem-634	57	38	leverage	leverage	NOUN
fbem-634	57	39	effect	effect	NOUN
fbem-634	57	40	.	.	PUNCT
fbem-634	58	1	the	the	DET
fbem-634	58	2	asymmetric	asymmetric	ADJ
fbem-634	58	3	information	information	NOUN
fbem-634	58	4	shock	shock	NOUN
fbem-634	58	5	curve	curve	NOUN
fbem-634	58	6	can	can	AUX
fbem-634	58	7	test	test	VERB
fbem-634	58	8	the	the	DET
fbem-634	58	9	leverage	leverage	NOUN
fbem-634	58	10	effect	effect	NOUN
fbem-634	58	11	of	of	ADP
fbem-634	58	12	capital	capital	NOUN
fbem-634	58	13	market	market	NOUN
fbem-634	58	14	.	.	PUNCT
fbem-634	59	1	in	in	ADP
fbem-634	59	2	view	view	NOUN
fbem-634	59	3	of	of	ADP
fbem-634	59	4	this	this	DET
fbem-634	59	5	situation	situation	NOUN
fbem-634	59	6	,	,	PUNCT
fbem-634	59	7	the	the	DET
fbem-634	59	8	garch	garch	NOUN
fbem-634	59	9	model	model	NOUN
fbem-634	59	10	needs	need	VERB
fbem-634	59	11	to	to	PART
fbem-634	59	12	be	be	AUX
fbem-634	59	13	improved	improve	VERB
fbem-634	59	14	.	.	PUNCT
fbem-634	60	1	45	45	NUM
fbem-634	60	2	3.4.1	3.4.1	NUM
fbem-634	60	3	.	.	PUNCT
fbem-634	60	4	tgarch	tgarch	NOUN
fbem-634	60	5	model	model	NOUN
fbem-634	60	6	the	the	DET
fbem-634	60	7	general	general	ADJ
fbem-634	60	8	expression	expression	NOUN
fbem-634	60	9	of	of	ADP
fbem-634	60	10	the	the	DET
fbem-634	60	11	tgarch	tgarch	NOUN
fbem-634	60	12	model	model	NOUN
fbem-634	60	13	(	(	PUNCT
fbem-634	60	14	or	or	CCONJ
fbem-634	60	15	threshold	threshold	NOUN
fbem-634	60	16	garch	garch	NOUN
fbem-634	60	17	model	model	NOUN
fbem-634	60	18	)	)	PUNCT
fbem-634	60	19	is	be	AUX
fbem-634	60	20	:	:	PUNCT
fbem-634	60	21	⋯	⋯	VERB
fbem-634	60	22	∑	∑	PROPN
fbem-634	60	23	∑	∑	PROPN
fbem-634	60	24	∑	∑	PROPN
fbem-634	60	25	(	(	PUNCT
fbem-634	60	26	4	4	X
fbem-634	60	27	)	)	PUNCT
fbem-634	60	28	the	the	DET
fbem-634	60	29	general	general	ADJ
fbem-634	60	30	tgarch(1,1	tgarch(1,1	NOUN
fbem-634	60	31	)	)	PUNCT
fbem-634	60	32	model	model	NOUN
fbem-634	60	33	variance	variance	NOUN
fbem-634	60	34	equation	equation	NOUN
fbem-634	60	35	is	be	AUX
fbem-634	60	36	:	:	PUNCT
fbem-634	60	37	among	among	ADP
fbem-634	60	38	them	they	PRON
fbem-634	60	39	,	,	PUNCT
fbem-634	60	40	is	be	AUX
fbem-634	60	41	the	the	DET
fbem-634	60	42	leverage	leverage	NOUN
fbem-634	60	43	effect	effect	NOUN
fbem-634	60	44	coefficient	coefficient	NOUN
fbem-634	60	45	;	;	PUNCT
fbem-634	60	46	is	be	AUX
fbem-634	60	47	a	a	DET
fbem-634	60	48	dummy	dummy	ADJ
fbem-634	60	49	variable	variable	NOUN
fbem-634	60	50	,	,	PUNCT
fbem-634	60	51	and	and	CCONJ
fbem-634	60	52	the	the	DET
fbem-634	60	53	term	term	NOUN
fbem-634	60	54	is	be	AUX
fbem-634	60	55	the	the	DET
fbem-634	60	56	leverage	leverage	NOUN
fbem-634	60	57	effect	effect	NOUN
fbem-634	60	58	tgarch	tgarch	NOUN
fbem-634	60	59	term	term	NOUN
fbem-634	60	60	.	.	PUNCT
fbem-634	61	1	when	when	SCONJ
fbem-634	61	2	0	0	NUM
fbem-634	61	3	,	,	PUNCT
fbem-634	61	4	0	0	NUM
fbem-634	61	5	,	,	PUNCT
fbem-634	61	6	which	which	PRON
fbem-634	61	7	will	will	AUX
fbem-634	61	8	bring	bring	VERB
fbem-634	61	9	times	time	NOUN
fbem-634	61	10	the	the	DET
fbem-634	61	11	impact	impact	NOUN
fbem-634	61	12	;	;	PUNCT
fbem-634	61	13	when	when	SCONJ
fbem-634	61	14	0	0	NUM
fbem-634	61	15	,	,	PUNCT
fbem-634	61	16	1	1	NUM
fbem-634	61	17	,	,	PUNCT
fbem-634	61	18	at	at	ADP
fbem-634	61	19	this	this	DET
fbem-634	61	20	time	time	NOUN
fbem-634	61	21	,	,	PUNCT
fbem-634	61	22	an	an	DET
fbem-634	61	23	impact	impact	NOUN
fbem-634	61	24	of	of	ADP
fbem-634	61	25	times	time	NOUN
fbem-634	61	26	will	will	AUX
fbem-634	61	27	be	be	AUX
fbem-634	61	28	brought	bring	VERB
fbem-634	61	29	.	.	PUNCT
fbem-634	62	1	when	when	SCONJ
fbem-634	62	2	0	0	NUM
fbem-634	62	3	,	,	PUNCT
fbem-634	62	4	there	there	PRON
fbem-634	62	5	is	be	VERB
fbem-634	62	6	an	an	DET
fbem-634	62	7	asymmetric	asymmetric	ADJ
fbem-634	62	8	effect	effect	NOUN
fbem-634	62	9	.	.	PUNCT
fbem-634	63	1	3.4.2	3.4.2	X
fbem-634	63	2	.	.	PUNCT
fbem-634	63	3	egarch	egarch	NOUN
fbem-634	63	4	model	model	NOUN
fbem-634	63	5	compared	compare	VERB
fbem-634	63	6	with	with	ADP
fbem-634	63	7	the	the	DET
fbem-634	63	8	tgarch	tgarch	NOUN
fbem-634	63	9	model	model	NOUN
fbem-634	63	10	whose	whose	DET
fbem-634	63	11	leverage	leverage	NOUN
fbem-634	63	12	effect	effect	NOUN
fbem-634	63	13	is	be	AUX
fbem-634	63	14	quadratic	quadratic	ADJ
fbem-634	63	15	,	,	PUNCT
fbem-634	63	16	the	the	DET
fbem-634	63	17	egarch	egarch	NOUN
fbem-634	63	18	model	model	NOUN
fbem-634	63	19	has	have	VERB
fbem-634	63	20	an	an	DET
fbem-634	63	21	exponential	exponential	ADJ
fbem-634	63	22	leverage	leverage	NOUN
fbem-634	63	23	effect	effect	NOUN
fbem-634	63	24	.	.	PUNCT
fbem-634	64	1	ln	ln	ADJ
fbem-634	64	2	is	be	AUX
fbem-634	64	3	used	use	VERB
fbem-634	64	4	to	to	PART
fbem-634	64	5	replace	replace	VERB
fbem-634	64	6	on	on	ADP
fbem-634	64	7	the	the	DET
fbem-634	64	8	left	left	ADJ
fbem-634	64	9	side	side	NOUN
fbem-634	64	10	of	of	ADP
fbem-634	64	11	the	the	DET
fbem-634	64	12	equation	equation	NOUN
fbem-634	64	13	of	of	ADP
fbem-634	64	14	the	the	DET
fbem-634	64	15	variance	variance	NOUN
fbem-634	64	16	equation	equation	NOUN
fbem-634	64	17	of	of	ADP
fbem-634	64	18	the	the	DET
fbem-634	64	19	model	model	NOUN
fbem-634	64	20	.	.	PUNCT
fbem-634	65	1	therefore	therefore	ADV
fbem-634	65	2	,	,	PUNCT
fbem-634	65	3	no	no	ADV
fbem-634	65	4	matter	matter	ADV
fbem-634	65	5	whether	whether	SCONJ
fbem-634	65	6	the	the	DET
fbem-634	65	7	right	right	ADJ
fbem-634	65	8	side	side	NOUN
fbem-634	65	9	of	of	ADP
fbem-634	65	10	the	the	DET
fbem-634	65	11	equation	equation	NOUN
fbem-634	65	12	is	be	AUX
fbem-634	65	13	positive	positive	ADJ
fbem-634	65	14	or	or	CCONJ
fbem-634	65	15	not	not	PART
fbem-634	65	16	,	,	PUNCT
fbem-634	65	17	can	can	AUX
fbem-634	65	18	be	be	AUX
fbem-634	65	19	guaranteed	guarantee	VERB
fbem-634	65	20	to	to	PART
fbem-634	65	21	be	be	AUX
fbem-634	65	22	always	always	ADV
fbem-634	65	23	positive	positive	ADJ
fbem-634	65	24	,	,	PUNCT
fbem-634	65	25	so	so	CCONJ
fbem-634	65	26	there	there	PRON
fbem-634	65	27	is	be	VERB
fbem-634	65	28	no	no	DET
fbem-634	65	29	restriction	restriction	NOUN
fbem-634	65	30	on	on	ADP
fbem-634	65	31	the	the	DET
fbem-634	65	32	model	model	NOUN
fbem-634	65	33	parameters	parameter	NOUN
fbem-634	65	34	.	.	PUNCT
fbem-634	66	1	it	it	PRON
fbem-634	66	2	makes	make	VERB
fbem-634	66	3	parameter	parameter	NOUN
fbem-634	66	4	estimation	estimation	NOUN
fbem-634	66	5	more	more	ADV
fbem-634	66	6	convenient	convenient	ADJ
fbem-634	66	7	and	and	CCONJ
fbem-634	66	8	stable	stable	ADJ
fbem-634	66	9	.	.	PUNCT
fbem-634	67	1	the	the	DET
fbem-634	67	2	general	general	ADJ
fbem-634	67	3	expression	expression	NOUN
fbem-634	67	4	for	for	ADP
fbem-634	67	5	this	this	DET
fbem-634	67	6	model	model	NOUN
fbem-634	67	7	is	be	AUX
fbem-634	67	8	:	:	PUNCT
fbem-634	67	9	⋯	⋯	PROPN
fbem-634	67	10	σ	σ	PROPN
fbem-634	67	11	∑	∑	PROPN
fbem-634	67	12	∑	∑	PROPN
fbem-634	67	13	∑	∑	PUNCT
fbem-634	67	14	(	(	PUNCT
fbem-634	67	15	5	5	NUM
fbem-634	67	16	)	)	PUNCT
fbem-634	67	17	the	the	DET
fbem-634	67	18	general	general	ADJ
fbem-634	67	19	egarch(1,1	egarch(1,1	NOUN
fbem-634	67	20	)	)	PUNCT
fbem-634	67	21	model	model	NOUN
fbem-634	67	22	variance	variance	NOUN
fbem-634	67	23	equation	equation	NOUN
fbem-634	67	24	is	be	AUX
fbem-634	67	25	:	:	PUNCT
fbem-634	67	26	where	where	SCONJ
fbem-634	67	27	is	be	AUX
fbem-634	67	28	the	the	DET
fbem-634	67	29	leverage	leverage	NOUN
fbem-634	67	30	factor	factor	NOUN
fbem-634	67	31	.	.	PUNCT
fbem-634	68	1	when	when	SCONJ
fbem-634	68	2	0	0	NUM
fbem-634	68	3	,	,	PUNCT
fbem-634	68	4	the	the	DET
fbem-634	68	5	impact	impact	NOUN
fbem-634	68	6	of	of	ADP
fbem-634	68	7	the	the	DET
fbem-634	68	8	shock	shock	NOUN
fbem-634	68	9	has	have	VERB
fbem-634	68	10	a	a	DET
fbem-634	68	11	leverage	leverage	NOUN
fbem-634	68	12	effect	effect	NOUN
fbem-634	68	13	.	.	PUNCT
fbem-634	69	1	when	when	SCONJ
fbem-634	69	2	0	0	NUM
fbem-634	69	3	,	,	PUNCT
fbem-634	69	4	there	there	PRON
fbem-634	69	5	will	will	AUX
fbem-634	69	6	be	be	AUX
fbem-634	69	7	times	time	NOUN
fbem-634	69	8	the	the	DET
fbem-634	69	9	impact	impact	NOUN
fbem-634	69	10	;	;	PUNCT
fbem-634	69	11	when	when	SCONJ
fbem-634	69	12	0	0	NUM
fbem-634	69	13	,	,	PUNCT
fbem-634	69	14	times	time	NOUN
fbem-634	69	15	the	the	DET
fbem-634	69	16	impact	impact	NOUN
fbem-634	69	17	will	will	AUX
fbem-634	69	18	be	be	AUX
fbem-634	69	19	generated	generate	VERB
fbem-634	69	20	.	.	PUNCT
fbem-634	70	1	4	4	X
fbem-634	70	2	.	.	X
fbem-634	70	3	empirical	empirical	ADJ
fbem-634	70	4	analysis	analysis	NOUN
fbem-634	70	5	4.1	4.1	NUM
fbem-634	70	6	.	.	PUNCT
fbem-634	70	7	data	datum	NOUN
fbem-634	70	8	selection	selection	NOUN
fbem-634	70	9	and	and	CCONJ
fbem-634	70	10	initial	initial	ADJ
fbem-634	70	11	model	model	NOUN
fbem-634	70	12	setting	set	VERB
fbem-634	70	13	there	there	PRON
fbem-634	70	14	is	be	VERB
fbem-634	70	15	a	a	DET
fbem-634	70	16	strong	strong	ADJ
fbem-634	70	17	correlation	correlation	NOUN
fbem-634	70	18	between	between	ADP
fbem-634	70	19	the	the	DET
fbem-634	70	20	shanghai	shanghai	PROPN
fbem-634	70	21	and	and	CCONJ
fbem-634	70	22	shenzhen	shenzhen	PROPN
fbem-634	70	23	stock	stock	PROPN
fbem-634	70	24	markets	market	NOUN
fbem-634	70	25	in	in	ADP
fbem-634	70	26	china	china	PROPN
fbem-634	70	27	's	's	PART
fbem-634	70	28	stock	stock	NOUN
fbem-634	70	29	market	market	NOUN
fbem-634	70	30	.	.	PUNCT
fbem-634	71	1	the	the	DET
fbem-634	71	2	shanghai	shanghai	PROPN
fbem-634	71	3	stock	stock	PROPN
fbem-634	71	4	exchange	exchange	PROPN
fbem-634	71	5	has	have	VERB
fbem-634	71	6	a	a	DET
fbem-634	71	7	high	high	ADJ
fbem-634	71	8	stock	stock	NOUN
fbem-634	71	9	market	market	NOUN
fbem-634	71	10	value	value	NOUN
fbem-634	71	11	and	and	CCONJ
fbem-634	71	12	a	a	DET
fbem-634	71	13	large	large	ADJ
fbem-634	71	14	trading	trading	NOUN
fbem-634	71	15	volume	volume	NOUN
fbem-634	71	16	,	,	PUNCT
fbem-634	71	17	which	which	PRON
fbem-634	71	18	more	more	ADV
fbem-634	71	19	systematically	systematically	ADV
fbem-634	71	20	and	and	CCONJ
fbem-634	71	21	accurately	accurately	ADV
fbem-634	71	22	reflects	reflect	VERB
fbem-634	71	23	the	the	DET
fbem-634	71	24	state	state	NOUN
fbem-634	71	25	of	of	ADP
fbem-634	71	26	the	the	DET
fbem-634	71	27	chinese	chinese	ADJ
fbem-634	71	28	stock	stock	NOUN
fbem-634	71	29	market	market	NOUN
fbem-634	71	30	.	.	PUNCT
fbem-634	72	1	this	this	DET
fbem-634	72	2	paper	paper	NOUN
fbem-634	72	3	selects	select	VERB
fbem-634	72	4	5,797	5,797	NUM
fbem-634	72	5	data	datum	NOUN
fbem-634	72	6	of	of	ADP
fbem-634	72	7	the	the	DET
fbem-634	72	8	daily	daily	ADJ
fbem-634	72	9	closing	closing	NOUN
fbem-634	72	10	price	price	NOUN
fbem-634	72	11	index	index	NOUN
fbem-634	72	12	of	of	ADP
fbem-634	72	13	the	the	DET
fbem-634	72	14	shanghai	shanghai	PROPN
fbem-634	72	15	stock	stock	PROPN
fbem-634	72	16	exchange	exchange	PROPN
fbem-634	72	17	and	and	CCONJ
fbem-634	72	18	shanghai	shanghai	PROPN
fbem-634	72	19	composite	composite	ADJ
fbem-634	72	20	index	index	NOUN
fbem-634	72	21	from	from	ADP
fbem-634	72	22	december	december	PROPN
fbem-634	72	23	27	27	NUM
fbem-634	72	24	,	,	PUNCT
fbem-634	72	25	1996	1996	NUM
fbem-634	72	26	to	to	ADP
fbem-634	72	27	november	november	PROPN
fbem-634	72	28	30	30	NUM
fbem-634	72	29	,	,	PUNCT
fbem-634	72	30	2020	2020	NUM
fbem-634	72	31	as	as	ADP
fbem-634	72	32	sample	sample	NOUN
fbem-634	72	33	observations	observation	NOUN
fbem-634	72	34	.	.	PUNCT
fbem-634	73	1	the	the	DET
fbem-634	73	2	data	data	NOUN
fbem-634	73	3	comes	come	VERB
fbem-634	73	4	from	from	ADP
fbem-634	73	5	the	the	DET
fbem-634	73	6	wind	wind	NOUN
fbem-634	73	7	database	database	NOUN
fbem-634	73	8	,	,	PUNCT
fbem-634	73	9	and	and	CCONJ
fbem-634	73	10	the	the	DET
fbem-634	73	11	measurement	measurement	NOUN
fbem-634	73	12	software	software	NOUN
fbem-634	73	13	is	be	AUX
fbem-634	73	14	eviews8.0	eviews8.0	NOUN
fbem-634	73	15	.	.	PUNCT
fbem-634	74	1	use	use	VERB
fbem-634	74	2	sp_t	sp_t	NOUN
fbem-634	74	3	to	to	PART
fbem-634	74	4	represent	represent	VERB
fbem-634	74	5	the	the	DET
fbem-634	74	6	closing	closing	NOUN
fbem-634	74	7	price	price	NOUN
fbem-634	74	8	index	index	NOUN
fbem-634	74	9	of	of	ADP
fbem-634	74	10	the	the	DET
fbem-634	74	11	shanghai	shanghai	PROPN
fbem-634	74	12	stock	stock	PROPN
fbem-634	74	13	exchange	exchange	PROPN
fbem-634	74	14	.	.	PUNCT
fbem-634	75	1	in	in	ADP
fbem-634	75	2	order	order	NOUN
fbem-634	75	3	to	to	PART
fbem-634	75	4	reduce	reduce	VERB
fbem-634	75	5	the	the	DET
fbem-634	75	6	rounding	rounding	NOUN
fbem-634	75	7	error	error	NOUN
fbem-634	75	8	,	,	PUNCT
fbem-634	75	9	the	the	DET
fbem-634	75	10	natural	natural	ADJ
fbem-634	75	11	logarithm	logarithm	NOUN
fbem-634	75	12	of	of	ADP
fbem-634	75	13	sp	sp	NOUN
fbem-634	75	14	is	be	AUX
fbem-634	75	15	processed	process	VERB
fbem-634	75	16	as	as	ADP
fbem-634	75	17	ln	ln	ADJ
fbem-634	75	18	sp	sp	NOUN
fbem-634	75	19	.	.	PUNCT
fbem-634	76	1	since	since	SCONJ
fbem-634	76	2	the	the	DET
fbem-634	76	3	stock	stock	NOUN
fbem-634	76	4	price	price	NOUN
fbem-634	76	5	index	index	NOUN
fbem-634	76	6	sequence	sequence	NOUN
fbem-634	76	7	often	often	ADV
fbem-634	76	8	follows	follow	VERB
fbem-634	76	9	a	a	DET
fbem-634	76	10	random	random	ADJ
fbem-634	76	11	walk	walk	NOUN
fbem-634	76	12	process	process	NOUN
fbem-634	76	13	with	with	ADP
fbem-634	76	14	drift	drift	NOUN
fbem-634	76	15	,	,	PUNCT
fbem-634	76	16	the	the	DET
fbem-634	76	17	following	follow	VERB
fbem-634	76	18	model	model	NOUN
fbem-634	76	19	is	be	AUX
fbem-634	76	20	first	first	ADV
fbem-634	76	21	established	establish	VERB
fbem-634	76	22	:	:	PUNCT
fbem-634	76	23	ln	ln	ADJ
fbem-634	76	24	sp	sp	ADP
fbem-634	76	25	∗	∗	NOUN
fbem-634	76	26	ln	ln	ADJ
fbem-634	76	27	sp	sp	ADP
fbem-634	76	28	μ	μ	PROPN
fbem-634	76	29	the	the	DET
fbem-634	76	30	ols	ol	NOUN
fbem-634	76	31	estimation	estimation	NOUN
fbem-634	76	32	results	result	NOUN
fbem-634	76	33	are	be	AUX
fbem-634	76	34	as	as	SCONJ
fbem-634	76	35	follows	follow	VERB
fbem-634	76	36	:	:	PUNCT
fbem-634	76	37	ln	ln	ADJ
fbem-634	76	38	sp	sp	ADP
fbem-634	76	39	0.0087	0.0087	NUM
fbem-634	76	40	0.9989	0.9989	NUM
fbem-634	76	41	∗	∗	NOUN
fbem-634	76	42	ln	ln	ADJ
fbem-634	76	43	sp	sp	ADP
fbem-634	76	44	μ	μ	PROPN
fbem-634	76	45	t	t	NOUN
fbem-634	76	46	=	=	SYM
fbem-634	76	47	2.1353	2.1353	NUM
fbem-634	76	48	1892.038	1892.038	NUM
fbem-634	76	49	r2=0.9984	r2=0.9984	PROPN
fbem-634	76	50	dw=1.9765	dw=1.9765	PROPN
fbem-634	76	51	log	log	NOUN
fbem-634	76	52	likelihood	likelihood	NOUN
fbem-634	76	53	=	=	VERB
fbem-634	76	54	15800.64	15800.64	NUM
fbem-634	76	55	aic=-5.4516	aic=-5.4516	VERB
fbem-634	76	56	sc=-5.4493	sc=-5.4493	PROPN
fbem-634	76	57	the	the	DET
fbem-634	76	58	statistics	statistic	NOUN
fbem-634	76	59	of	of	ADP
fbem-634	76	60	the	the	DET
fbem-634	76	61	estimated	estimate	VERB
fbem-634	76	62	results	result	NOUN
fbem-634	76	63	are	be	AUX
fbem-634	76	64	all	all	ADV
fbem-634	76	65	significant	significant	ADJ
fbem-634	76	66	,	,	PUNCT
fbem-634	76	67	and	and	CCONJ
fbem-634	76	68	the	the	DET
fbem-634	76	69	fitting	fitting	ADJ
fbem-634	76	70	effect	effect	NOUN
fbem-634	76	71	is	be	AUX
fbem-634	76	72	very	very	ADV
fbem-634	76	73	good	good	ADJ
fbem-634	76	74	,	,	PUNCT
fbem-634	76	75	which	which	PRON
fbem-634	76	76	further	far	ADV
fbem-634	76	77	proves	prove	VERB
fbem-634	76	78	that	that	SCONJ
fbem-634	76	79	the	the	DET
fbem-634	76	80	closing	closing	NOUN
fbem-634	76	81	price	price	NOUN
fbem-634	76	82	index	index	NOUN
fbem-634	76	83	sequence	sequence	NOUN
fbem-634	76	84	of	of	ADP
fbem-634	76	85	the	the	DET
fbem-634	76	86	shanghai	shanghai	PROPN
fbem-634	76	87	stock	stock	PROPN
fbem-634	76	88	exchange	exchange	PROPN
fbem-634	76	89	conforms	conform	VERB
fbem-634	76	90	to	to	ADP
fbem-634	76	91	the	the	DET
fbem-634	76	92	random	random	ADJ
fbem-634	76	93	walk	walk	NOUN
fbem-634	76	94	model	model	NOUN
fbem-634	76	95	setting	setting	NOUN
fbem-634	76	96	.	.	PUNCT
fbem-634	77	1	the	the	DET
fbem-634	77	2	stationary	stationary	PROPN
fbem-634	77	3	adf	adf	PROPN
fbem-634	77	4	test	test	NOUN
fbem-634	77	5	was	be	AUX
fbem-634	77	6	performed	perform	VERB
fbem-634	77	7	on	on	ADP
fbem-634	77	8	the	the	DET
fbem-634	77	9	residuals	residual	NOUN
fbem-634	77	10	of	of	ADP
fbem-634	77	11	the	the	DET
fbem-634	77	12	fitted	fit	VERB
fbem-634	77	13	model	model	NOUN
fbem-634	77	14	,	,	PUNCT
fbem-634	77	15	and	and	CCONJ
fbem-634	77	16	the	the	DET
fbem-634	77	17	statistic	statistic	NOUN
fbem-634	77	18	was	be	AUX
fbem-634	77	19	-12.1247	-12.1247	PUNCT
fbem-634	77	20	,	,	PUNCT
fbem-634	77	21	which	which	PRON
fbem-634	77	22	were	be	AUX
fbem-634	77	23	all	all	ADV
fbem-634	77	24	less	less	ADJ
fbem-634	77	25	than	than	ADP
fbem-634	77	26	the	the	DET
fbem-634	77	27	critical	critical	ADJ
fbem-634	77	28	values	value	NOUN
fbem-634	77	29	at	at	ADP
fbem-634	77	30	the	the	DET
fbem-634	77	31	10	10	NUM
fbem-634	77	32	%	%	NOUN
fbem-634	77	33	,	,	PUNCT
fbem-634	77	34	5	5	NUM
fbem-634	77	35	%	%	NOUN
fbem-634	77	36	,	,	PUNCT
fbem-634	77	37	and	and	CCONJ
fbem-634	77	38	1	1	NUM
fbem-634	77	39	%	%	NOUN
fbem-634	77	40	significance	significance	NOUN
fbem-634	77	41	levels	level	NOUN
fbem-634	77	42	,	,	PUNCT
fbem-634	77	43	indicating	indicate	VERB
fbem-634	77	44	that	that	SCONJ
fbem-634	77	45	the	the	DET
fbem-634	77	46	residual	residual	ADJ
fbem-634	77	47	sequence	sequence	NOUN
fbem-634	77	48	was	be	AUX
fbem-634	77	49	stationary	stationary	ADJ
fbem-634	77	50	.	.	PUNCT
fbem-634	78	1	make	make	VERB
fbem-634	78	2	a	a	DET
fbem-634	78	3	residual	residual	ADJ
fbem-634	78	4	statistical	statistical	ADJ
fbem-634	78	5	plot	plot	NOUN
fbem-634	78	6	(	(	PUNCT
fbem-634	78	7	figure	figure	NOUN
fbem-634	78	8	1	1	NUM
fbem-634	78	9	)	)	PUNCT
fbem-634	78	10	and	and	CCONJ
fbem-634	78	11	a	a	DET
fbem-634	78	12	residual	residual	ADJ
fbem-634	78	13	series	series	NOUN
fbem-634	78	14	plot	plot	NOUN
fbem-634	78	15	(	(	PUNCT
fbem-634	78	16	figure	figure	NOUN
fbem-634	78	17	2	2	NUM
fbem-634	78	18	)	)	PUNCT
fbem-634	78	19	.	.	PUNCT
fbem-634	79	1	figure	figure	NOUN
fbem-634	79	2	1	1	NUM
fbem-634	79	3	.	.	PUNCT
fbem-634	79	4	residual	residual	ADJ
fbem-634	79	5	statistical	statistical	ADJ
fbem-634	79	6	chart	chart	NOUN
fbem-634	79	7	figure	figure	NOUN
fbem-634	79	8	2	2	NUM
fbem-634	79	9	.	.	PUNCT
fbem-634	79	10	residual	residual	ADJ
fbem-634	79	11	sequence	sequence	NOUN
fbem-634	79	12	diagram	diagram	NOUN
fbem-634	79	13	46	46	NUM
fbem-634	79	14	it	it	PRON
fbem-634	79	15	can	can	AUX
fbem-634	79	16	be	be	AUX
fbem-634	79	17	seen	see	VERB
fbem-634	79	18	from	from	ADP
fbem-634	79	19	the	the	DET
fbem-634	79	20	residual	residual	ADJ
fbem-634	79	21	statistics	statistic	NOUN
fbem-634	79	22	chart	chart	VERB
fbem-634	79	23	that	that	PRON
fbem-634	79	24	the	the	DET
fbem-634	79	25	mean	mean	NOUN
fbem-634	79	26	of	of	ADP
fbem-634	79	27	the	the	DET
fbem-634	79	28	residual	residual	ADJ
fbem-634	79	29	series	series	NOUN
fbem-634	79	30	is	be	AUX
fbem-634	79	31	0.0004	0.0004	NUM
fbem-634	79	32	and	and	CCONJ
fbem-634	79	33	the	the	DET
fbem-634	79	34	standard	standard	ADJ
fbem-634	79	35	deviation	deviation	NOUN
fbem-634	79	36	is	be	AUX
fbem-634	79	37	0.0158	0.0158	NUM
fbem-634	79	38	,	,	PUNCT
fbem-634	79	39	indicating	indicate	VERB
fbem-634	79	40	that	that	SCONJ
fbem-634	79	41	the	the	DET
fbem-634	79	42	returns	return	NOUN
fbem-634	79	43	of	of	ADP
fbem-634	79	44	the	the	DET
fbem-634	79	45	shanghai	shanghai	PROPN
fbem-634	79	46	stock	stock	PROPN
fbem-634	79	47	market	market	NOUN
fbem-634	79	48	are	be	AUX
fbem-634	79	49	generally	generally	ADV
fbem-634	79	50	positive	positive	ADJ
fbem-634	79	51	,	,	PUNCT
fbem-634	79	52	but	but	CCONJ
fbem-634	79	53	the	the	DET
fbem-634	79	54	volatility	volatility	NOUN
fbem-634	79	55	is	be	AUX
fbem-634	79	56	relatively	relatively	ADV
fbem-634	79	57	large	large	ADJ
fbem-634	79	58	.	.	PUNCT
fbem-634	80	1	the	the	DET
fbem-634	80	2	skewness	skewness	NOUN
fbem-634	80	3	is	be	AUX
fbem-634	80	4	-0.4049	-0.4049	ADJ
fbem-634	80	5	and	and	CCONJ
fbem-634	80	6	the	the	DET
fbem-634	80	7	kurtosis	kurtosis	NOUN
fbem-634	80	8	is	be	AUX
fbem-634	80	9	7.9930	7.9930	NUM
fbem-634	80	10	.	.	PUNCT
fbem-634	81	1	compared	compare	VERB
fbem-634	81	2	with	with	ADP
fbem-634	81	3	the	the	DET
fbem-634	81	4	normal	normal	ADJ
fbem-634	81	5	distribution	distribution	NOUN
fbem-634	81	6	,	,	PUNCT
fbem-634	81	7	there	there	PRON
fbem-634	81	8	is	be	VERB
fbem-634	81	9	a	a	DET
fbem-634	81	10	left	left	ADJ
fbem-634	81	11	skewed	skewed	ADJ
fbem-634	81	12	peak	peak	NOUN
fbem-634	81	13	and	and	CCONJ
fbem-634	81	14	thick	thick	ADJ
fbem-634	81	15	tail	tail	NOUN
fbem-634	81	16	.	.	PUNCT
fbem-634	82	1	it	it	PRON
fbem-634	82	2	can	can	AUX
fbem-634	82	3	be	be	AUX
fbem-634	82	4	seen	see	VERB
fbem-634	82	5	from	from	ADP
fbem-634	82	6	the	the	DET
fbem-634	82	7	residual	residual	ADJ
fbem-634	82	8	sequence	sequence	NOUN
fbem-634	82	9	diagram	diagram	NOUN
fbem-634	82	10	that	that	SCONJ
fbem-634	82	11	the	the	DET
fbem-634	82	12	fluctuations	fluctuation	NOUN
fbem-634	82	13	are	be	AUX
fbem-634	82	14	"	"	PUNCT
fbem-634	82	15	clustered	clustered	ADJ
fbem-634	82	16	"	"	PUNCT
fbem-634	82	17	,	,	PUNCT
fbem-634	82	18	with	with	ADP
fbem-634	82	19	large	large	ADJ
fbem-634	82	20	fluctuations	fluctuation	NOUN
fbem-634	82	21	for	for	ADP
fbem-634	82	22	a	a	DET
fbem-634	82	23	period	period	NOUN
fbem-634	82	24	of	of	ADP
fbem-634	82	25	time	time	NOUN
fbem-634	82	26	and	and	CCONJ
fbem-634	82	27	small	small	ADJ
fbem-634	82	28	fluctuations	fluctuation	NOUN
fbem-634	82	29	for	for	ADP
fbem-634	82	30	a	a	DET
fbem-634	82	31	period	period	NOUN
fbem-634	82	32	of	of	ADP
fbem-634	82	33	time	time	NOUN
fbem-634	82	34	,	,	PUNCT
fbem-634	82	35	and	and	CCONJ
fbem-634	82	36	there	there	PRON
fbem-634	82	37	may	may	AUX
fbem-634	82	38	be	be	AUX
fbem-634	82	39	conditional	conditional	ADJ
fbem-634	82	40	heteroscedasticity	heteroscedasticity	NOUN
fbem-634	82	41	.	.	PUNCT
fbem-634	83	1	the	the	DET
fbem-634	83	2	arch	arch	ADJ
fbem-634	83	3	-	-	PUNCT
fbem-634	83	4	lm	lm	NOUN
fbem-634	83	5	test	test	NOUN
fbem-634	83	6	was	be	AUX
fbem-634	83	7	carried	carry	VERB
fbem-634	83	8	out	out	ADP
fbem-634	83	9	,	,	PUNCT
fbem-634	83	10	and	and	CCONJ
fbem-634	83	11	the	the	DET
fbem-634	83	12	lag	lag	NOUN
fbem-634	83	13	order	order	NOUN
fbem-634	83	14	was	be	AUX
fbem-634	83	15	21	21	NUM
fbem-634	83	16	by	by	ADP
fbem-634	83	17	the	the	DET
fbem-634	83	18	aic	aic	PROPN
fbem-634	83	19	and	and	CCONJ
fbem-634	83	20	sc	sc	PROPN
fbem-634	83	21	criteria	criterion	NOUN
fbem-634	83	22	,	,	PUNCT
fbem-634	83	23	and	and	CCONJ
fbem-634	83	24	f=30.4993	f=30.4993	NOUN
fbem-634	83	25	,	,	PUNCT
fbem-634	83	26	t*r2=578.5274	t*r2=578.5274	NOUN
fbem-634	83	27	,	,	PUNCT
fbem-634	83	28	and	and	CCONJ
fbem-634	83	29	the	the	DET
fbem-634	83	30	null	null	ADJ
fbem-634	83	31	hypothesis	hypothesis	NOUN
fbem-634	83	32	was	be	AUX
fbem-634	83	33	rejected	reject	VERB
fbem-634	83	34	,	,	PUNCT
fbem-634	83	35	indicating	indicate	VERB
fbem-634	83	36	that	that	SCONJ
fbem-634	83	37	the	the	DET
fbem-634	83	38	residual	residual	ADJ
fbem-634	83	39	sequence	sequence	NOUN
fbem-634	83	40	had	have	VERB
fbem-634	83	41	an	an	DET
fbem-634	83	42	arch	arch	ADJ
fbem-634	83	43	effect	effect	NOUN
fbem-634	83	44	.	.	PUNCT
fbem-634	84	1	the	the	DET
fbem-634	84	2	correlation	correlation	NOUN
fbem-634	84	3	coefficient	coefficient	NOUN
fbem-634	84	4	and	and	CCONJ
fbem-634	84	5	q	q	NOUN
fbem-634	84	6	statistic	statistic	NOUN
fbem-634	84	7	are	be	AUX
fbem-634	84	8	significant	significant	ADJ
fbem-634	84	9	in	in	ADP
fbem-634	84	10	the	the	DET
fbem-634	84	11	residual	residual	ADJ
fbem-634	84	12	squared	square	VERB
fbem-634	84	13	correlation	correlation	NOUN
fbem-634	84	14	test	test	NOUN
fbem-634	84	15	,	,	PUNCT
fbem-634	84	16	which	which	PRON
fbem-634	84	17	also	also	ADV
fbem-634	84	18	indicates	indicate	VERB
fbem-634	84	19	that	that	SCONJ
fbem-634	84	20	the	the	DET
fbem-634	84	21	residual	residual	ADJ
fbem-634	84	22	series	series	NOUN
fbem-634	84	23	has	have	VERB
fbem-634	84	24	an	an	DET
fbem-634	84	25	arch	arch	ADJ
fbem-634	84	26	effect	effect	NOUN
fbem-634	84	27	.	.	PUNCT
fbem-634	85	1	due	due	ADP
fbem-634	85	2	to	to	ADP
fbem-634	85	3	the	the	DET
fbem-634	85	4	high	high	ADJ
fbem-634	85	5	lag	lag	NOUN
fbem-634	85	6	order	order	NOUN
fbem-634	85	7	of	of	ADP
fbem-634	85	8	the	the	DET
fbem-634	85	9	arch	arch	ADJ
fbem-634	85	10	model	model	NOUN
fbem-634	85	11	,	,	PUNCT
fbem-634	85	12	it	it	PRON
fbem-634	85	13	will	will	AUX
fbem-634	85	14	lead	lead	VERB
fbem-634	85	15	to	to	ADP
fbem-634	85	16	too	too	ADV
fbem-634	85	17	many	many	ADJ
fbem-634	85	18	parameters	parameter	NOUN
fbem-634	85	19	,	,	PUNCT
fbem-634	85	20	and	and	CCONJ
fbem-634	85	21	it	it	PRON
fbem-634	85	22	is	be	AUX
fbem-634	85	23	difficult	difficult	ADJ
fbem-634	85	24	to	to	PART
fbem-634	85	25	meet	meet	VERB
fbem-634	85	26	the	the	DET
fbem-634	85	27	parameter	parameter	NOUN
fbem-634	85	28	constraints	constraint	NOUN
fbem-634	85	29	and	and	CCONJ
fbem-634	85	30	the	the	DET
fbem-634	85	31	guarantee	guarantee	NOUN
fbem-634	85	32	of	of	ADP
fbem-634	85	33	significance	significance	NOUN
fbem-634	85	34	,	,	PUNCT
fbem-634	85	35	so	so	CCONJ
fbem-634	85	36	the	the	DET
fbem-634	85	37	garch	garch	NOUN
fbem-634	85	38	model	model	NOUN
fbem-634	85	39	is	be	AUX
fbem-634	85	40	used	use	VERB
fbem-634	85	41	to	to	PART
fbem-634	85	42	correct	correct	VERB
fbem-634	85	43	it	it	PRON
fbem-634	85	44	.	.	PUNCT
fbem-634	86	1	4.2	4.2	NUM
fbem-634	86	2	.	.	X
fbem-634	86	3	establish	establish	VERB
fbem-634	86	4	a	a	DET
fbem-634	86	5	garch	garch	NOUN
fbem-634	86	6	model	model	NOUN
fbem-634	86	7	build	build	VERB
fbem-634	86	8	a	a	DET
fbem-634	86	9	garch(1,1	garch(1,1	NOUN
fbem-634	86	10	)	)	PUNCT
fbem-634	86	11	model	model	NOUN
fbem-634	86	12	and	and	CCONJ
fbem-634	86	13	perform	perform	VERB
fbem-634	86	14	ols	ol	NOUN
fbem-634	86	15	estimation	estimation	NOUN
fbem-634	86	16	to	to	PART
fbem-634	86	17	get	get	VERB
fbem-634	86	18	:	:	PUNCT
fbem-634	86	19	ln	ln	ADJ
fbem-634	86	20	sp	sp	ADP
fbem-634	86	21	0.0031	0.0031	NUM
fbem-634	86	22	0.9996	0.9996	NUM
fbem-634	86	23	∗	∗	NOUN
fbem-634	86	24	ln	ln	ADJ
fbem-634	86	25	sp	sp	ADP
fbem-634	86	26	μ	μ	PROPN
fbem-634	86	27	z	z	PROPN
fbem-634	87	1	=	=	SYM
fbem-634	88	1	1.2366	1.2366	NUM
fbem-634	88	2	3001.771	3001.771	NUM
fbem-634	88	3	2.23	2.23	NUM
fbem-634	88	4	∗	∗	NOUN
fbem-634	88	5	10	10	NUM
fbem-634	88	6	0.0863	0.0863	NUM
fbem-634	88	7	0.9095	0.9095	NUM
fbem-634	88	8	z	z	X
fbem-634	88	9	=	=	SYM
fbem-634	88	10	8.5837	8.5837	NUM
fbem-634	88	11	23.6857	23.6857	NUM
fbem-634	88	12	279.7006	279.7006	NUM
fbem-634	88	13	r2=0.9984	r2=0.9984	PROPN
fbem-634	88	14	dw=1.9773	dw=1.9773	ADJ
fbem-634	88	15	log	log	NOUN
fbem-634	88	16	likelihood	likelihood	NOUN
fbem-634	89	1	=	=	SYM
fbem-634	89	2	16603.00	16603.00	NUM
fbem-634	89	3	aic=-5.7274	aic=-5.7274	NOUN
fbem-634	89	4	sc=-5.7216	sc=-5.7216	VERB
fbem-634	89	5	the	the	DET
fbem-634	89	6	estimation	estimation	NOUN
fbem-634	89	7	results	result	NOUN
fbem-634	89	8	showed	show	VERB
fbem-634	89	9	that	that	SCONJ
fbem-634	89	10	each	each	DET
fbem-634	89	11	parameter	parameter	NOUN
fbem-634	89	12	was	be	AUX
fbem-634	89	13	significant	significant	ADJ
fbem-634	89	14	,	,	PUNCT
fbem-634	89	15	the	the	DET
fbem-634	89	16	log	log	NOUN
fbem-634	89	17	-	-	PUNCT
fbem-634	89	18	likelihood	likelihood	NOUN
fbem-634	89	19	value	value	NOUN
fbem-634	89	20	increased	increase	VERB
fbem-634	89	21	,	,	PUNCT
fbem-634	89	22	and	and	CCONJ
fbem-634	89	23	the	the	DET
fbem-634	89	24	aic	aic	PROPN
fbem-634	89	25	and	and	CCONJ
fbem-634	89	26	sc	sc	PROPN
fbem-634	89	27	values	value	NOUN
fbem-634	89	28	decreased	decrease	VERB
fbem-634	89	29	.	.	PUNCT
fbem-634	90	1	according	accord	VERB
fbem-634	90	2	to	to	ADP
fbem-634	90	3	the	the	DET
fbem-634	90	4	arch	arch	ADJ
fbem-634	90	5	-	-	PUNCT
fbem-634	90	6	lm	lm	NOUN
fbem-634	90	7	test	test	NOUN
fbem-634	90	8	(	(	PUNCT
fbem-634	90	9	the	the	DET
fbem-634	90	10	lag	lag	NOUN
fbem-634	90	11	order	order	NOUN
fbem-634	90	12	is	be	AUX
fbem-634	90	13	1	1	NUM
fbem-634	90	14	)	)	PUNCT
fbem-634	90	15	,	,	PUNCT
fbem-634	90	16	f	f	PROPN
fbem-634	90	17	=	=	SYM
fbem-634	90	18	2.6797	2.6797	NUM
fbem-634	90	19	,	,	PUNCT
fbem-634	90	20	t*r2	t*r2	PROPN
fbem-634	90	21	=	=	SYM
fbem-634	90	22	2.6794	2.6794	NUM
fbem-634	90	23	,	,	PUNCT
fbem-634	90	24	accepting	accept	VERB
fbem-634	90	25	the	the	DET
fbem-634	90	26	null	null	ADJ
fbem-634	90	27	hypothesis	hypothesis	NOUN
fbem-634	90	28	,	,	PUNCT
fbem-634	90	29	and	and	CCONJ
fbem-634	90	30	the	the	DET
fbem-634	90	31	residual	residual	ADJ
fbem-634	90	32	series	series	NOUN
fbem-634	90	33	has	have	VERB
fbem-634	90	34	no	no	DET
fbem-634	90	35	arch	arch	ADJ
fbem-634	90	36	effect	effect	NOUN
fbem-634	90	37	.	.	PUNCT
fbem-634	91	1	the	the	DET
fbem-634	91	2	correlation	correlation	NOUN
fbem-634	91	3	coefficient	coefficient	NOUN
fbem-634	91	4	and	and	CCONJ
fbem-634	91	5	q	q	NOUN
fbem-634	91	6	statistic	statistic	NOUN
fbem-634	91	7	in	in	ADP
fbem-634	91	8	the	the	DET
fbem-634	91	9	residual	residual	ADJ
fbem-634	91	10	squared	square	VERB
fbem-634	91	11	correlation	correlation	NOUN
fbem-634	91	12	test	test	NOUN
fbem-634	91	13	chart	chart	NOUN
fbem-634	91	14	are	be	AUX
fbem-634	91	15	not	not	PART
fbem-634	91	16	significant	significant	ADJ
fbem-634	91	17	,	,	PUNCT
fbem-634	91	18	which	which	PRON
fbem-634	91	19	also	also	ADV
fbem-634	91	20	indicates	indicate	VERB
fbem-634	91	21	that	that	SCONJ
fbem-634	91	22	there	there	PRON
fbem-634	91	23	is	be	VERB
fbem-634	91	24	no	no	DET
fbem-634	91	25	arch	arch	ADJ
fbem-634	91	26	effect	effect	NOUN
fbem-634	91	27	in	in	ADP
fbem-634	91	28	the	the	DET
fbem-634	91	29	residual	residual	ADJ
fbem-634	91	30	series	series	NOUN
fbem-634	91	31	.	.	PUNCT
fbem-634	92	1	the	the	DET
fbem-634	92	2	garch(1,1	garch(1,1	NOUN
fbem-634	92	3	)	)	PUNCT
fbem-634	92	4	model	model	NOUN
fbem-634	92	5	can	can	AUX
fbem-634	92	6	eliminate	eliminate	VERB
fbem-634	92	7	the	the	DET
fbem-634	92	8	heteroscedasticity	heteroscedasticity	NOUN
fbem-634	92	9	of	of	ADP
fbem-634	92	10	the	the	DET
fbem-634	92	11	residuals	residual	NOUN
fbem-634	92	12	,	,	PUNCT
fbem-634	92	13	but	but	CCONJ
fbem-634	92	14	the	the	DET
fbem-634	92	15	correlation	correlation	NOUN
fbem-634	92	16	coefficient	coefficient	NOUN
fbem-634	92	17	and	and	CCONJ
fbem-634	92	18	q	q	NOUN
fbem-634	92	19	statistic	statistic	NOUN
fbem-634	92	20	in	in	ADP
fbem-634	92	21	the	the	DET
fbem-634	92	22	residual	residual	ADJ
fbem-634	92	23	correlation	correlation	NOUN
fbem-634	92	24	plot	plot	NOUN
fbem-634	92	25	are	be	AUX
fbem-634	92	26	significant	significant	ADJ
fbem-634	92	27	,	,	PUNCT
fbem-634	92	28	indicating	indicate	VERB
fbem-634	92	29	that	that	SCONJ
fbem-634	92	30	the	the	DET
fbem-634	92	31	residual	residual	ADJ
fbem-634	92	32	series	series	NOUN
fbem-634	92	33	has	have	VERB
fbem-634	92	34	autocorrelation	autocorrelation	NOUN
fbem-634	92	35	.	.	PUNCT
fbem-634	93	1	the	the	DET
fbem-634	93	2	ar(4)-garch(1,1	ar(4)-garch(1,1	NOUN
fbem-634	93	3	)	)	PUNCT
fbem-634	93	4	model	model	NOUN
fbem-634	93	5	is	be	AUX
fbem-634	93	6	established	establish	VERB
fbem-634	93	7	to	to	PART
fbem-634	93	8	get	get	VERB
fbem-634	93	9	:	:	PUNCT
fbem-634	93	10	lnsp	lnsp	VERB
fbem-634	93	11	0.0041	0.0041	NUM
fbem-634	93	12	1.0225	1.0225	NUM
fbem-634	93	13	∗	∗	NOUN
fbem-634	93	14	lnsp	lnsp	VERB
fbem-634	93	15	0.0491	0.0491	NUM
fbem-634	93	16	∗	∗	NOUN
fbem-634	93	17	lnsp	lnsp	VERB
fbem-634	93	18	0.0605	0.0605	NUM
fbem-634	93	19	∗	∗	NOUN
fbem-634	93	20	ln	ln	NOUN
fbem-634	93	21	sp	sp	ADP
fbem-634	93	22	0.0344	0.0344	NUM
fbem-634	93	23	∗	∗	NOUN
fbem-634	93	24	ln	ln	NOUN
fbem-634	93	25	sp	sp	ADP
fbem-634	93	26	μ	μ	PROPN
fbem-634	93	27	z	z	PROPN
fbem-634	93	28	=	=	SYM
fbem-634	93	29	1.4701	1.4701	NUM
fbem-634	93	30	77.9503	77.9503	NUM
fbem-634	93	31	-2.6326	-2.6326	NOUN
fbem-634	93	32	3.0642	3.0642	NUM
fbem-634	93	33	-2.5927	-2.5927	NOUN
fbem-634	93	34	2.11	2.11	NUM
fbem-634	93	35	∗	∗	NOUN
fbem-634	93	36	10	10	NUM
fbem-634	93	37	0.0863	0.0863	NUM
fbem-634	93	38	̂	̂	PUNCT
fbem-634	93	39	0.9122	0.9122	NUM
fbem-634	93	40	z	z	NOUN
fbem-634	93	41	=	=	SYM
fbem-634	93	42	8.4153	8.4153	NUM
fbem-634	93	43	24.0560	24.0560	NUM
fbem-634	93	44	300.4243	300.4243	NUM
fbem-634	93	45	r2=0.9984	r2=0.9984	PROPN
fbem-634	93	46	dw=2.0236	dw=2.0236	ADJ
fbem-634	93	47	log	log	NOUN
fbem-634	93	48	likelihood	likelihood	NOUN
fbem-634	94	1	=	=	NOUN
fbem-634	94	2	16602.15	16602.15	NUM
fbem-634	94	3	aic=-5.7290	aic=-5.7290	NUM
fbem-634	95	1	sc=-5.7198	sc=-5.7198	PROPN
fbem-634	95	2	the	the	DET
fbem-634	95	3	coefficients	coefficient	NOUN
fbem-634	95	4	of	of	ADP
fbem-634	95	5	the	the	DET
fbem-634	95	6	arch	arch	ADJ
fbem-634	95	7	and	and	CCONJ
fbem-634	95	8	garch	garch	NOUN
fbem-634	95	9	terms	term	NOUN
fbem-634	95	10	in	in	ADP
fbem-634	95	11	the	the	DET
fbem-634	95	12	variance	variance	NOUN
fbem-634	95	13	equation	equation	NOUN
fbem-634	95	14	are	be	AUX
fbem-634	95	15	positive	positive	ADJ
fbem-634	95	16	and	and	CCONJ
fbem-634	95	17	their	their	PRON
fbem-634	95	18	sum	sum	NOUN
fbem-634	95	19	is	be	AUX
fbem-634	95	20	0.9985	0.9985	NUM
fbem-634	95	21	,	,	PUNCT
fbem-634	95	22	which	which	PRON
fbem-634	95	23	is	be	AUX
fbem-634	95	24	less	less	ADJ
fbem-634	95	25	than	than	ADP
fbem-634	95	26	1	1	NUM
fbem-634	95	27	and	and	CCONJ
fbem-634	95	28	very	very	ADV
fbem-634	95	29	close	close	ADV
fbem-634	95	30	to	to	ADP
fbem-634	95	31	1	1	NUM
fbem-634	95	32	.	.	PUNCT
fbem-634	96	1	it	it	PRON
fbem-634	96	2	shows	show	VERB
fbem-634	96	3	that	that	SCONJ
fbem-634	96	4	the	the	DET
fbem-634	96	5	conditional	conditional	ADJ
fbem-634	96	6	variance	variance	NOUN
fbem-634	96	7	is	be	AUX
fbem-634	96	8	stable	stable	ADJ
fbem-634	96	9	and	and	CCONJ
fbem-634	96	10	the	the	DET
fbem-634	96	11	external	external	ADJ
fbem-634	96	12	shock	shock	NOUN
fbem-634	96	13	has	have	VERB
fbem-634	96	14	a	a	DET
fbem-634	96	15	lasting	last	VERB
fbem-634	96	16	impact	impact	NOUN
fbem-634	96	17	on	on	ADP
fbem-634	96	18	it	it	PRON
fbem-634	96	19	,	,	PUNCT
fbem-634	96	20	and	and	CCONJ
fbem-634	96	21	the	the	DET
fbem-634	96	22	error	error	NOUN
fbem-634	96	23	fluctuation	fluctuation	NOUN
fbem-634	96	24	has	have	VERB
fbem-634	96	25	a	a	DET
fbem-634	96	26	strong	strong	ADJ
fbem-634	96	27	impact	impact	NOUN
fbem-634	96	28	,	,	PUNCT
fbem-634	96	29	which	which	PRON
fbem-634	96	30	is	be	AUX
fbem-634	96	31	of	of	ADP
fbem-634	96	32	great	great	ADJ
fbem-634	96	33	significance	significance	NOUN
fbem-634	96	34	for	for	ADP
fbem-634	96	35	future	future	ADJ
fbem-634	96	36	forecasting	forecasting	NOUN
fbem-634	96	37	.	.	PUNCT
fbem-634	97	1	4.3	4.3	NUM
fbem-634	97	2	.	.	PUNCT
fbem-634	97	3	establish	establish	VERB
fbem-634	97	4	the	the	DET
fbem-634	97	5	garch	garch	NOUN
fbem-634	97	6	-	-	PUNCT
fbem-634	97	7	m	m	NOUN
fbem-634	97	8	model	model	NOUN
fbem-634	97	9	the	the	DET
fbem-634	97	10	coefficient	coefficient	NOUN
fbem-634	97	11	of	of	ADP
fbem-634	97	12	the	the	DET
fbem-634	97	13	variance	variance	NOUN
fbem-634	97	14	term	term	NOUN
fbem-634	97	15	of	of	ADP
fbem-634	97	16	the	the	DET
fbem-634	97	17	mean	mean	ADJ
fbem-634	97	18	equation	equation	NOUN
fbem-634	97	19	in	in	ADP
fbem-634	97	20	the	the	DET
fbem-634	97	21	results	result	NOUN
fbem-634	97	22	obtained	obtain	VERB
fbem-634	97	23	by	by	ADP
fbem-634	97	24	establishing	establish	VERB
fbem-634	97	25	the	the	DET
fbem-634	97	26	ar(4)garch(1,1)-m	ar(4)garch(1,1)-m	PROPN
fbem-634	97	27	model	model	NOUN
fbem-634	97	28	with	with	ADP
fbem-634	97	29	constant	constant	ADJ
fbem-634	97	30	term	term	NOUN
fbem-634	97	31	is	be	AUX
fbem-634	97	32	not	not	PART
fbem-634	97	33	significant	significant	ADJ
fbem-634	97	34	.	.	PUNCT
fbem-634	98	1	therefore	therefore	ADV
fbem-634	98	2	,	,	PUNCT
fbem-634	98	3	the	the	DET
fbem-634	98	4	model	model	NOUN
fbem-634	98	5	is	be	AUX
fbem-634	98	6	adjusted	adjust	VERB
fbem-634	98	7	,	,	PUNCT
fbem-634	98	8	and	and	CCONJ
fbem-634	98	9	the	the	DET
fbem-634	98	10	ar(4)garch(1,1)-m	ar(4)garch(1,1)-m	PROPN
fbem-634	98	11	model	model	NOUN
fbem-634	98	12	without	without	ADP
fbem-634	98	13	constant	constant	ADJ
fbem-634	98	14	term	term	NOUN
fbem-634	98	15	is	be	AUX
fbem-634	98	16	established	establish	VERB
fbem-634	98	17	to	to	PART
fbem-634	98	18	obtain	obtain	VERB
fbem-634	98	19	the	the	DET
fbem-634	98	20	result	result	NOUN
fbem-634	98	21	:	:	PUNCT
fbem-634	99	1	ln	ln	ADJ
fbem-634	99	2	sp	sp	ADP
fbem-634	99	3	1.0330	1.0330	NUM
fbem-634	99	4	∗	∗	NOUN
fbem-634	99	5	ln	ln	NOUN
fbem-634	99	6	sp	sp	ADP
fbem-634	99	7	0.0690	0.0690	NUM
fbem-634	99	8	∗	∗	NOUN
fbem-634	99	9	ln	ln	NOUN
fbem-634	99	10	sp	sp	ADP
fbem-634	99	11	0.0731	0.0731	NUM
fbem-634	99	12	∗	∗	NOUN
fbem-634	99	13	ln	ln	ADJ
fbem-634	99	14	sp	sp	ADP
fbem-634	99	15	0.0372	0.0372	NUM
fbem-634	99	16	∗	∗	NOUN
fbem-634	99	17	ln	ln	NOUN
fbem-634	99	18	sp	sp	ADP
fbem-634	99	19	3.9987	3.9987	NUM
fbem-634	99	20	μ	μ	NOUN
fbem-634	99	21	z	z	NOUN
fbem-634	99	22	=	=	NOUN
fbem-634	99	23	86.1668	86.1668	NUM
fbem-634	99	24	-170.4723	-170.4723	NOUN
fbem-634	99	25	6.0670	6.0670	NUM
fbem-634	99	26	-425.9912	-425.9912	NUM
fbem-634	99	27	2.0190	2.0190	NUM
fbem-634	99	28	2.96	2.96	NUM
fbem-634	99	29	∗	∗	NOUN
fbem-634	99	30	10	10	NUM
fbem-634	99	31	0.0904	0.0904	NUM
fbem-634	99	32	̂	̂	PUNCT
fbem-634	99	33	0.9010	0.9010	NUM
fbem-634	99	34	z	z	NOUN
fbem-634	99	35	=	=	SYM
fbem-634	99	36	9.0911	9.0911	NUM
fbem-634	99	37	23.7920	23.7920	NUM
fbem-634	100	1	254.3556	254.3556	NUM
fbem-634	100	2	r2=0.9984	r2=0.9984	PRON
fbem-634	100	3	dw=2.0316	dw=2.0316	ADJ
fbem-634	100	4	log	log	NOUN
fbem-634	100	5	likelihood	likelihood	NOUN
fbem-634	100	6	=	=	NOUN
fbem-634	100	7	16597.54	16597.54	NUM
fbem-634	100	8	aic=-5.7274	aic=-5.7274	NOUN
fbem-634	100	9	sc=-5.7182	sc=-5.7182	PROPN
fbem-634	100	10	the	the	DET
fbem-634	100	11	estimated	estimate	VERB
fbem-634	100	12	coefficient	coefficient	NOUN
fbem-634	100	13	of	of	ADP
fbem-634	100	14	is	be	AUX
fbem-634	100	15	3.9987	3.9987	NUM
fbem-634	100	16	and	and	CCONJ
fbem-634	100	17	the	the	DET
fbem-634	100	18	z	z	NOUN
fbem-634	100	19	statistic	statistic	NOUN
fbem-634	100	20	is	be	AUX
fbem-634	100	21	significant	significant	ADJ
fbem-634	100	22	,	,	PUNCT
fbem-634	100	23	that	that	ADV
fbem-634	100	24	is	is	ADV
fbem-634	100	25	,	,	PUNCT
fbem-634	100	26	when	when	SCONJ
fbem-634	100	27	one	one	NUM
fbem-634	100	28	more	more	ADJ
fbem-634	100	29	unit	unit	NOUN
fbem-634	100	30	of	of	ADP
fbem-634	100	31	risk	risk	NOUN
fbem-634	100	32	is	be	AUX
fbem-634	100	33	taken	take	VERB
fbem-634	100	34	,	,	PUNCT
fbem-634	100	35	3.9987	3.9987	NUM
fbem-634	100	36	more	more	ADJ
fbem-634	100	37	units	unit	NOUN
fbem-634	100	38	of	of	ADP
fbem-634	100	39	return	return	NOUN
fbem-634	100	40	will	will	AUX
fbem-634	100	41	be	be	AUX
fbem-634	100	42	obtained	obtain	VERB
fbem-634	100	43	,	,	PUNCT
fbem-634	100	44	indicating	indicate	VERB
fbem-634	100	45	that	that	SCONJ
fbem-634	100	46	the	the	DET
fbem-634	100	47	return	return	NOUN
fbem-634	100	48	and	and	CCONJ
fbem-634	100	49	risk	risk	NOUN
fbem-634	100	50	are	be	AUX
fbem-634	100	51	positively	positively	ADV
fbem-634	100	52	correlated	correlate	VERB
fbem-634	100	53	,	,	PUNCT
fbem-634	100	54	which	which	PRON
fbem-634	100	55	is	be	AUX
fbem-634	100	56	in	in	ADP
fbem-634	100	57	line	line	NOUN
fbem-634	100	58	with	with	ADP
fbem-634	100	59	economic	economic	ADJ
fbem-634	100	60	significance	significance	NOUN
fbem-634	100	61	.	.	PUNCT
fbem-634	101	1	4.4	4.4	NUM
fbem-634	101	2	.	.	PUNCT
fbem-634	101	3	establish	establish	VERB
fbem-634	101	4	tgarch	tgarch	NOUN
fbem-634	101	5	model	model	NOUN
fbem-634	101	6	and	and	CCONJ
fbem-634	101	7	egarch	egarch	NOUN
fbem-634	101	8	model	model	NOUN
fbem-634	101	9	4.4.1	4.4.1	NUM
fbem-634	101	10	.	.	PUNCT
fbem-634	102	1	the	the	DET
fbem-634	102	2	results	result	NOUN
fbem-634	102	3	of	of	ADP
fbem-634	102	4	establishing	establish	VERB
fbem-634	102	5	ar(4)-tgarch(1,1	ar(4)-tgarch(1,1	PROPN
fbem-634	102	6	)	)	PUNCT
fbem-634	102	7	model	model	NOUN
fbem-634	102	8	are	be	AUX
fbem-634	102	9	as	as	SCONJ
fbem-634	102	10	follows	follow	VERB
fbem-634	102	11	:	:	PUNCT
fbem-634	102	12	ln	ln	ADJ
fbem-634	102	13	sp	sp	ADP
fbem-634	102	14	0.0041	0.0041	NUM
fbem-634	102	15	1.0201	1.0201	NUM
fbem-634	102	16	∗	∗	NOUN
fbem-634	102	17	ln	ln	NOUN
fbem-634	102	18	sp	sp	ADP
fbem-634	102	19	0.0409	0.0409	NUM
fbem-634	102	20	∗	∗	NOUN
fbem-634	102	21	ln	ln	NOUN
fbem-634	102	22	sp	sp	ADP
fbem-634	102	23	0.0555	0.0555	NUM
fbem-634	102	24	∗	∗	NOUN
fbem-634	102	25	ln	ln	NOUN
fbem-634	102	26	sp	sp	ADP
fbem-634	102	27	0.0351	0.0351	NUM
fbem-634	102	28	∗	∗	NOUN
fbem-634	102	29	ln	ln	NOUN
fbem-634	102	30	sp	sp	ADP
fbem-634	102	31	μ	μ	PROPN
fbem-634	102	32	z	z	PROPN
fbem-634	102	33	=	=	SYM
fbem-634	103	1	1.4362	1.4362	NUM
fbem-634	103	2	77.0970	77.0970	NUM
fbem-634	103	3	-2.1575	-2.1575	PROPN
fbem-634	103	4	82.7774	82.7774	NUM
fbem-634	103	5	-2.6392	-2.6392	PROPN
fbem-634	103	6	2.23	2.23	NUM
fbem-634	103	7	∗	∗	NOUN
fbem-634	103	8	10	10	NUM
fbem-634	103	9	0.0707	0.0707	NUM
fbem-634	103	10	̂	̂	PUNCT
fbem-634	103	11	0.9112	0.9112	NUM
fbem-634	103	12	0.0259	0.0259	NUM
fbem-634	103	13	̂	̂	PUNCT
fbem-634	103	14	z	z	NOUN
fbem-634	103	15	=	=	SYM
fbem-634	103	16	8.7437	8.7437	NUM
fbem-634	103	17	15.5398	15.5398	NUM
fbem-634	103	18	300.5271	300.5271	NUM
fbem-634	103	19	4.6368	4.6368	NUM
fbem-634	103	20	r2=0.9984	r2=0.9984	NUM
fbem-634	103	21	dw=2.0188	dw=2.0188	ADJ
fbem-634	103	22	log	log	NOUN
fbem-634	103	23	likelihood	likelihood	NOUN
fbem-634	104	1	=	=	NOUN
fbem-634	104	2	16607.06	16607.06	NUM
fbem-634	104	3	aic=-5.7304	aic=-5.7304	NUM
fbem-634	104	4	sc=-5.7200	sc=-5.7200	PROPN
fbem-634	104	5	the	the	DET
fbem-634	104	6	estimated	estimate	VERB
fbem-634	104	7	values	value	NOUN
fbem-634	104	8	of	of	ADP
fbem-634	104	9	each	each	DET
fbem-634	104	10	parameter	parameter	NOUN
fbem-634	104	11	are	be	AUX
fbem-634	104	12	significant	significant	ADJ
fbem-634	104	13	,	,	PUNCT
fbem-634	104	14	and	and	CCONJ
fbem-634	104	15	the	the	DET
fbem-634	104	16	fitting	fitting	ADJ
fbem-634	104	17	effect	effect	NOUN
fbem-634	104	18	is	be	AUX
fbem-634	104	19	good	good	ADJ
fbem-634	104	20	.	.	PUNCT
fbem-634	105	1	the	the	DET
fbem-634	105	2	coefficient	coefficient	NOUN
fbem-634	105	3	of	of	ADP
fbem-634	105	4	the	the	DET
fbem-634	105	5	asymmetric	asymmetric	ADJ
fbem-634	105	6	effect	effect	NOUN
fbem-634	105	7	term	term	NOUN
fbem-634	105	8	is	be	AUX
fbem-634	105	9	0.0259>0	0.0259>0	NUM
fbem-634	105	10	,	,	PUNCT
fbem-634	105	11	indicating	indicate	VERB
fbem-634	105	12	that	that	SCONJ
fbem-634	105	13	there	there	PRON
fbem-634	105	14	is	be	VERB
fbem-634	105	15	a	a	DET
fbem-634	105	16	leverage	leverage	NOUN
fbem-634	105	17	effect	effect	NOUN
fbem-634	105	18	in	in	ADP
fbem-634	105	19	the	the	DET
fbem-634	105	20	volatility	volatility	NOUN
fbem-634	105	21	of	of	ADP
fbem-634	105	22	the	the	DET
fbem-634	105	23	shanghai	shanghai	PROPN
fbem-634	105	24	stock	stock	NOUN
fbem-634	105	25	market	market	NOUN
fbem-634	105	26	.	.	PUNCT
fbem-634	106	1	when	when	SCONJ
fbem-634	106	2	there	there	PRON
fbem-634	106	3	is	be	VERB
fbem-634	106	4	"	"	PUNCT
fbem-634	106	5	good	good	ADJ
fbem-634	106	6	news	news	NOUN
fbem-634	106	7	"	"	PUNCT
fbem-634	106	8	,	,	PUNCT
fbem-634	106	9	the	the	DET
fbem-634	106	10	external	external	ADJ
fbem-634	106	11	shock	shock	NOUN
fbem-634	106	12	will	will	AUX
fbem-634	106	13	only	only	ADV
fbem-634	106	14	bring	bring	VERB
fbem-634	106	15	0.0707	0.0707	NUM
fbem-634	106	16	times	time	NOUN
fbem-634	106	17	the	the	DET
fbem-634	106	18	shock	shock	NOUN
fbem-634	106	19	to	to	ADP
fbem-634	106	20	the	the	DET
fbem-634	106	21	shanghai	shanghai	PROPN
fbem-634	106	22	stock	stock	NOUN
fbem-634	106	23	market	market	NOUN
fbem-634	106	24	;	;	PUNCT
fbem-634	106	25	when	when	SCONJ
fbem-634	106	26	there	there	PRON
fbem-634	106	27	is	be	VERB
fbem-634	106	28	"	"	PUNCT
fbem-634	106	29	bad	bad	ADJ
fbem-634	106	30	news	news	NOUN
fbem-634	106	31	"	"	PUNCT
fbem-634	106	32	,	,	PUNCT
fbem-634	106	33	the	the	DET
fbem-634	106	34	external	external	ADJ
fbem-634	106	35	shock	shock	NOUN
fbem-634	106	36	will	will	AUX
fbem-634	106	37	bring	bring	VERB
fbem-634	106	38	0.0707	0.0707	NUM
fbem-634	106	39	+	+	NOUN
fbem-634	106	40	0.0259=0.0966	0.0259=0.0966	NOUN
fbem-634	106	41	times	time	NOUN
fbem-634	106	42	the	the	DET
fbem-634	106	43	shock	shock	NOUN
fbem-634	106	44	to	to	ADP
fbem-634	106	45	the	the	DET
fbem-634	106	46	shanghai	shanghai	PROPN
fbem-634	106	47	stock	stock	NOUN
fbem-634	106	48	market	market	NOUN
fbem-634	106	49	.	.	PUNCT
fbem-634	107	1	4.4.2	4.4.2	X
fbem-634	107	2	.	.	PUNCT
fbem-634	108	1	the	the	DET
fbem-634	108	2	results	result	NOUN
fbem-634	108	3	of	of	ADP
fbem-634	108	4	establishing	establish	VERB
fbem-634	108	5	the	the	DET
fbem-634	108	6	ar(4)egarch(1,1	ar(4)egarch(1,1	NOUN
fbem-634	108	7	)	)	PUNCT
fbem-634	108	8	model	model	NOUN
fbem-634	108	9	are	be	AUX
fbem-634	108	10	as	as	SCONJ
fbem-634	108	11	follows	follow	VERB
fbem-634	108	12	:	:	PUNCT
fbem-634	108	13	ln	ln	ADJ
fbem-634	108	14	sp	sp	ADP
fbem-634	108	15	0.0019	0.0019	NUM
fbem-634	108	16	1.0117	1.0117	NUM
fbem-634	108	17	∗	∗	NOUN
fbem-634	108	18	ln	ln	ADJ
fbem-634	108	19	sp	sp	ADP
fbem-634	108	20	0.0250	0.0250	NUM
fbem-634	108	21	∗	∗	NOUN
fbem-634	108	22	ln	ln	ADJ
fbem-634	108	23	sp	sp	ADP
fbem-634	108	24	0.0460	0.0460	NUM
fbem-634	108	25	∗	∗	NOUN
fbem-634	108	26	ln	ln	ADJ
fbem-634	108	27	sp	sp	ADP
fbem-634	108	28	0.0329	0.0329	NUM
fbem-634	108	29	∗	∗	NOUN
fbem-634	108	30	ln	ln	ADJ
fbem-634	108	31	sp	sp	ADP
fbem-634	108	32	μ	μ	NOUN
fbem-634	108	33	z	z	NOUN
fbem-634	108	34	=	=	PUNCT
fbem-634	109	1	0.8162	0.8162	NUM
fbem-634	109	2	229.4455	229.4455	NUM
fbem-634	109	3	-5.2007	-5.2007	ADJ
fbem-634	109	4	8.7823	8.7823	NUM
fbem-634	109	5	-8.9596	-8.9596	NOUN
fbem-634	109	6	ln	ln	NOUN
fbem-634	109	7	0.2775	0.2775	NUM
fbem-634	109	8	0.1935	0.1935	NUM
fbem-634	109	9	0.0243	0.0243	NUM
fbem-634	109	10	0.9842ln	0.9842ln	NUM
fbem-634	109	11	z	z	NOUN
fbem-634	109	12	=	=	SYM
fbem-634	109	13	-18.3175	-18.3175	NUM
fbem-634	109	14	27.5844	27.5844	NUM
fbem-634	109	15	-5.9184	-5.9184	VERB
fbem-634	110	1	592.8262	592.8262	NUM
fbem-634	110	2	r2=0.9984	r2=0.9984	PRON
fbem-634	110	3	dw=2.0012	dw=2.0012	NOUN
fbem-634	110	4	log	log	NOUN
fbem-634	110	5	likelihood	likelihood	NOUN
fbem-634	111	1	=	=	NOUN
fbem-634	111	2	16633.64	16633.64	NUM
fbem-634	111	3	aic=-5.7396	aic=-5.7396	NUM
fbem-634	112	1	sc=-5.7292	sc=-5.7292	ADP
fbem-634	112	2	the	the	DET
fbem-634	112	3	estimated	estimate	VERB
fbem-634	112	4	values	value	NOUN
fbem-634	112	5	of	of	ADP
fbem-634	112	6	each	each	DET
fbem-634	112	7	parameter	parameter	NOUN
fbem-634	112	8	are	be	AUX
fbem-634	112	9	very	very	ADV
fbem-634	112	10	significant	significant	ADJ
fbem-634	112	11	,	,	PUNCT
fbem-634	112	12	and	and	CCONJ
fbem-634	112	13	the	the	DET
fbem-634	112	14	model	model	NOUN
fbem-634	112	15	fitting	fitting	ADJ
fbem-634	112	16	effect	effect	NOUN
fbem-634	112	17	is	be	AUX
fbem-634	112	18	very	very	ADV
fbem-634	112	19	good	good	ADJ
fbem-634	112	20	.	.	PUNCT
fbem-634	113	1	since	since	SCONJ
fbem-634	113	2	the	the	DET
fbem-634	113	3	coefficient	coefficient	NOUN
fbem-634	113	4	of	of	ADP
fbem-634	113	5	the	the	DET
fbem-634	113	6	asymmetric	asymmetric	ADJ
fbem-634	113	7	term	term	NOUN
fbem-634	113	8	is	be	AUX
fbem-634	113	9	-0.0243<0	-0.0243<0	VERB
fbem-634	113	10	,	,	PUNCT
fbem-634	113	11	the	the	DET
fbem-634	113	12	impact	impact	NOUN
fbem-634	113	13	of	of	ADP
fbem-634	113	14	the	the	DET
fbem-634	113	15	shock	shock	NOUN
fbem-634	113	16	has	have	VERB
fbem-634	113	17	an	an	DET
fbem-634	113	18	asymmetric	asymmetric	ADJ
fbem-634	113	19	effect	effect	NOUN
fbem-634	113	20	.	.	PUNCT
fbem-634	114	1	when	when	SCONJ
fbem-634	114	2	0	0	NUM
fbem-634	114	3	,	,	PUNCT
fbem-634	114	4	that	that	PRON
fbem-634	114	5	is	be	AUX
fbem-634	114	6	"	"	PUNCT
fbem-634	114	7	good	good	ADJ
fbem-634	114	8	news	news	NOUN
fbem-634	114	9	"	"	PUNCT
fbem-634	114	10	,	,	PUNCT
fbem-634	114	11	it	it	PRON
fbem-634	114	12	will	will	AUX
fbem-634	114	13	produce	produce	VERB
fbem-634	114	14	0.1935	0.1935	NUM
fbem-634	114	15	-	-	SYM
fbem-634	114	16	0.0243=0.1692	0.0243=0.1692	NUM
fbem-634	114	17	times	time	NOUN
fbem-634	114	18	the	the	DET
fbem-634	114	19	impact	impact	NOUN
fbem-634	114	20	.	.	PUNCT
fbem-634	115	1	when	when	SCONJ
fbem-634	115	2	0	0	NUM
fbem-634	115	3	,	,	PUNCT
fbem-634	115	4	that	that	ADV
fbem-634	115	5	is	is	ADV
fbem-634	115	6	,	,	PUNCT
fbem-634	115	7	"	"	PUNCT
fbem-634	115	8	bad	bad	ADJ
fbem-634	115	9	news	news	NOUN
fbem-634	115	10	"	"	PUNCT
fbem-634	115	11	occurs	occur	VERB
fbem-634	115	12	,	,	PUNCT
fbem-634	115	13	there	there	PRON
fbem-634	115	14	will	will	AUX
fbem-634	115	15	be	be	AUX
fbem-634	115	16	a	a	DET
fbem-634	115	17	shock	shock	NOUN
fbem-634	115	18	of	of	ADP
fbem-634	115	19	0.1935	0.1935	NUM
fbem-634	115	20	+	+	NOUN
fbem-634	115	21	0.0243=0.2178	0.0243=0.2178	ADJ
fbem-634	115	22	times	time	NOUN
fbem-634	115	23	.	.	PUNCT
fbem-634	116	1	by	by	ADP
fbem-634	116	2	making	make	VERB
fbem-634	116	3	a	a	DET
fbem-634	116	4	graph	graph	NOUN
fbem-634	116	5	of	of	ADP
fbem-634	116	6	information	information	NOUN
fbem-634	116	7	shock	shock	NOUN
fbem-634	116	8	(	(	PUNCT
fbem-634	116	9	figure	figure	NOUN
fbem-634	116	10	3	3	NUM
fbem-634	116	11	)	)	PUNCT
fbem-634	116	12	,	,	PUNCT
fbem-634	116	13	the	the	DET
fbem-634	116	14	asymmetric	asymmetric	ADJ
fbem-634	116	15	impact	impact	NOUN
fbem-634	116	16	of	of	ADP
fbem-634	116	17	information	information	NOUN
fbem-634	116	18	shock	shock	NOUN
fbem-634	116	19	can	can	AUX
fbem-634	116	20	be	be	AUX
fbem-634	116	21	seen	see	VERB
fbem-634	116	22	intuitively	intuitively	ADV
fbem-634	116	23	.	.	PUNCT
fbem-634	117	1	make	make	VERB
fbem-634	117	2	:	:	PUNCT
fbem-634	117	3	47	47	NUM
fbem-634	117	4	0.1935	0.1935	NUM
fbem-634	117	5	0.0243	0.0243	PRON
fbem-634	117	6	figure	figure	VERB
fbem-634	117	7	6	6	NUM
fbem-634	117	8	.	.	PUNCT
fbem-634	118	1	information	information	NOUN
fbem-634	118	2	impact	impact	NOUN
fbem-634	118	3	curve	curve	NOUN
fbem-634	118	4	it	it	PRON
fbem-634	118	5	can	can	AUX
fbem-634	118	6	be	be	AUX
fbem-634	118	7	seen	see	VERB
fbem-634	118	8	that	that	SCONJ
fbem-634	118	9	when	when	SCONJ
fbem-634	118	10	a	a	DET
fbem-634	118	11	negative	negative	ADJ
fbem-634	118	12	shock	shock	NOUN
fbem-634	118	13	occurs	occur	VERB
fbem-634	118	14	,	,	PUNCT
fbem-634	118	15	the	the	DET
fbem-634	118	16	curve	curve	NOUN
fbem-634	118	17	is	be	AUX
fbem-634	118	18	steeper	steep	ADJ
fbem-634	118	19	;	;	PUNCT
fbem-634	118	20	when	when	SCONJ
fbem-634	118	21	a	a	DET
fbem-634	118	22	positive	positive	ADJ
fbem-634	118	23	shock	shock	NOUN
fbem-634	118	24	occurs	occur	VERB
fbem-634	118	25	,	,	PUNCT
fbem-634	118	26	the	the	DET
fbem-634	118	27	curve	curve	NOUN
fbem-634	118	28	is	be	AUX
fbem-634	118	29	relatively	relatively	ADV
fbem-634	118	30	flat	flat	ADJ
fbem-634	118	31	,	,	PUNCT
fbem-634	118	32	showing	show	VERB
fbem-634	118	33	asymmetry	asymmetry	NOUN
fbem-634	118	34	.	.	PUNCT
fbem-634	119	1	it	it	PRON
fbem-634	119	2	shows	show	VERB
fbem-634	119	3	that	that	SCONJ
fbem-634	119	4	the	the	DET
fbem-634	119	5	negative	negative	ADJ
fbem-634	119	6	shock	shock	NOUN
fbem-634	119	7	of	of	ADP
fbem-634	119	8	"	"	PUNCT
fbem-634	119	9	bad	bad	ADJ
fbem-634	119	10	news	news	NOUN
fbem-634	119	11	"	"	PUNCT
fbem-634	119	12	has	have	VERB
fbem-634	119	13	a	a	DET
fbem-634	119	14	greater	great	ADJ
fbem-634	119	15	impact	impact	NOUN
fbem-634	119	16	on	on	ADP
fbem-634	119	17	the	the	DET
fbem-634	119	18	volatility	volatility	NOUN
fbem-634	119	19	of	of	ADP
fbem-634	119	20	the	the	DET
fbem-634	119	21	shanghai	shanghai	PROPN
fbem-634	119	22	stock	stock	PROPN
fbem-634	119	23	market	market	NOUN
fbem-634	119	24	than	than	ADP
fbem-634	119	25	the	the	DET
fbem-634	119	26	positive	positive	ADJ
fbem-634	119	27	shock	shock	NOUN
fbem-634	119	28	of	of	ADP
fbem-634	119	29	"	"	PUNCT
fbem-634	119	30	good	good	ADJ
fbem-634	119	31	news	news	NOUN
fbem-634	119	32	"	"	PUNCT
fbem-634	119	33	,	,	PUNCT
fbem-634	119	34	and	and	CCONJ
fbem-634	119	35	the	the	DET
fbem-634	119	36	shanghai	shanghai	PROPN
fbem-634	119	37	stock	stock	PROPN
fbem-634	119	38	market	market	NOUN
fbem-634	119	39	has	have	VERB
fbem-634	119	40	a	a	DET
fbem-634	119	41	significant	significant	ADJ
fbem-634	119	42	leverage	leverage	NOUN
fbem-634	119	43	effect	effect	NOUN
fbem-634	119	44	.	.	PUNCT
fbem-634	120	1	5	5	X
fbem-634	120	2	.	.	X
fbem-634	120	3	conclusion	conclusion	NOUN
fbem-634	120	4	this	this	DET
fbem-634	120	5	paper	paper	NOUN
fbem-634	120	6	selects	select	VERB
fbem-634	120	7	5,797	5,797	NUM
fbem-634	120	8	data	datum	NOUN
fbem-634	120	9	of	of	ADP
fbem-634	120	10	the	the	DET
fbem-634	120	11	daily	daily	ADJ
fbem-634	120	12	closing	closing	NOUN
fbem-634	120	13	price	price	NOUN
fbem-634	120	14	index	index	NOUN
fbem-634	120	15	of	of	ADP
fbem-634	120	16	the	the	DET
fbem-634	120	17	shanghai	shanghai	PROPN
fbem-634	120	18	stock	stock	PROPN
fbem-634	120	19	exchange	exchange	PROPN
fbem-634	120	20	and	and	CCONJ
fbem-634	120	21	shanghai	shanghai	PROPN
fbem-634	120	22	composite	composite	ADJ
fbem-634	120	23	index	index	NOUN
fbem-634	120	24	from	from	ADP
fbem-634	120	25	december	december	PROPN
fbem-634	120	26	27	27	NUM
fbem-634	120	27	,	,	PUNCT
fbem-634	120	28	1996	1996	NUM
fbem-634	120	29	to	to	ADP
fbem-634	120	30	november	november	PROPN
fbem-634	120	31	30	30	NUM
fbem-634	120	32	,	,	PUNCT
fbem-634	120	33	2020	2020	NUM
fbem-634	120	34	as	as	ADP
fbem-634	120	35	sample	sample	NOUN
fbem-634	120	36	observations	observation	NOUN
fbem-634	120	37	to	to	PART
fbem-634	120	38	study	study	VERB
fbem-634	120	39	the	the	DET
fbem-634	120	40	volatility	volatility	NOUN
fbem-634	120	41	characteristics	characteristic	NOUN
fbem-634	120	42	of	of	ADP
fbem-634	120	43	the	the	DET
fbem-634	120	44	shanghai	shanghai	PROPN
fbem-634	120	45	stock	stock	NOUN
fbem-634	120	46	market	market	NOUN
fbem-634	120	47	,	,	PUNCT
fbem-634	120	48	and	and	CCONJ
fbem-634	120	49	draws	draw	VERB
fbem-634	120	50	the	the	DET
fbem-634	120	51	following	following	ADJ
fbem-634	120	52	conclusions	conclusion	NOUN
fbem-634	120	53	:	:	PUNCT
fbem-634	120	54	first	first	ADV
fbem-634	120	55	,	,	PUNCT
fbem-634	120	56	there	there	PRON
fbem-634	120	57	is	be	VERB
fbem-634	120	58	an	an	DET
fbem-634	120	59	arch	arch	ADJ
fbem-634	120	60	effect	effect	NOUN
fbem-634	120	61	in	in	ADP
fbem-634	120	62	the	the	DET
fbem-634	120	63	shanghai	shanghai	PROPN
fbem-634	120	64	stock	stock	NOUN
fbem-634	120	65	market	market	NOUN
fbem-634	120	66	,	,	PUNCT
fbem-634	120	67	and	and	CCONJ
fbem-634	120	68	the	the	DET
fbem-634	120	69	residual	residual	ADJ
fbem-634	120	70	sequence	sequence	NOUN
fbem-634	120	71	of	of	ADP
fbem-634	120	72	the	the	DET
fbem-634	120	73	first	first	ADJ
fbem-634	120	74	-	-	PUNCT
fbem-634	120	75	order	order	NOUN
fbem-634	120	76	random	random	ADJ
fbem-634	120	77	walk	walk	NOUN
fbem-634	120	78	process	process	NOUN
fbem-634	120	79	model	model	NOUN
fbem-634	120	80	has	have	VERB
fbem-634	120	81	the	the	DET
fbem-634	120	82	characteristics	characteristic	NOUN
fbem-634	120	83	of	of	ADP
fbem-634	120	84	sharp	sharp	ADJ
fbem-634	120	85	peaks	peak	NOUN
fbem-634	120	86	,	,	PUNCT
fbem-634	120	87	thick	thick	ADJ
fbem-634	120	88	tails	tail	NOUN
fbem-634	120	89	,	,	PUNCT
fbem-634	120	90	non	non	ADJ
fbem-634	120	91	-	-	ADJ
fbem-634	120	92	normal	normal	ADJ
fbem-634	120	93	distribution	distribution	NOUN
fbem-634	120	94	,	,	PUNCT
fbem-634	120	95	and	and	CCONJ
fbem-634	120	96	the	the	DET
fbem-634	120	97	phenomenon	phenomenon	NOUN
fbem-634	120	98	of	of	ADP
fbem-634	120	99	"	"	PUNCT
fbem-634	120	100	clustering	clustering	NOUN
fbem-634	120	101	"	"	PUNCT
fbem-634	120	102	of	of	ADP
fbem-634	120	103	fluctuations	fluctuation	NOUN
fbem-634	120	104	.	.	PUNCT
fbem-634	121	1	the	the	DET
fbem-634	121	2	garch(1,1	garch(1,1	NOUN
fbem-634	121	3	)	)	PUNCT
fbem-634	121	4	model	model	NOUN
fbem-634	121	5	can	can	AUX
fbem-634	121	6	capture	capture	VERB
fbem-634	121	7	the	the	DET
fbem-634	121	8	conditional	conditional	ADJ
fbem-634	121	9	heteroskedasticity	heteroskedasticity	NOUN
fbem-634	121	10	of	of	ADP
fbem-634	121	11	the	the	DET
fbem-634	121	12	shanghai	shanghai	PROPN
fbem-634	121	13	stock	stock	NOUN
fbem-634	121	14	market	market	NOUN
fbem-634	121	15	,	,	PUNCT
fbem-634	121	16	and	and	CCONJ
fbem-634	121	17	the	the	DET
fbem-634	121	18	ar(4)-garch(1,1	ar(4)-garch(1,1	NOUN
fbem-634	121	19	)	)	PUNCT
fbem-634	121	20	model	model	NOUN
fbem-634	121	21	can	can	AUX
fbem-634	121	22	eliminate	eliminate	VERB
fbem-634	121	23	autocorrelation	autocorrelation	NOUN
fbem-634	121	24	,	,	PUNCT
fbem-634	121	25	which	which	PRON
fbem-634	121	26	is	be	AUX
fbem-634	121	27	better	well	ADJ
fbem-634	121	28	than	than	ADP
fbem-634	121	29	describing	describe	VERB
fbem-634	121	30	the	the	DET
fbem-634	121	31	volatility	volatility	NOUN
fbem-634	121	32	of	of	ADP
fbem-634	121	33	the	the	DET
fbem-634	121	34	shanghai	shanghai	PROPN
fbem-634	121	35	stock	stock	NOUN
fbem-634	121	36	market	market	NOUN
fbem-634	121	37	.	.	PUNCT
fbem-634	122	1	second	second	ADV
fbem-634	122	2	,	,	PUNCT
fbem-634	122	3	the	the	DET
fbem-634	122	4	ar(4)-garch(1,1)-m	ar(4)-garch(1,1)-m	PROPN
fbem-634	122	5	model	model	NOUN
fbem-634	122	6	without	without	ADP
fbem-634	122	7	constant	constant	ADJ
fbem-634	122	8	term	term	NOUN
fbem-634	122	9	can	can	AUX
fbem-634	122	10	better	well	ADV
fbem-634	122	11	describe	describe	VERB
fbem-634	122	12	the	the	DET
fbem-634	122	13	positive	positive	ADJ
fbem-634	122	14	risk	risk	NOUN
fbem-634	122	15	premium	premium	NOUN
fbem-634	122	16	of	of	ADP
fbem-634	122	17	the	the	DET
fbem-634	122	18	shanghai	shanghai	PROPN
fbem-634	122	19	stock	stock	NOUN
fbem-634	122	20	market	market	NOUN
fbem-634	122	21	.	.	PUNCT
fbem-634	123	1	when	when	SCONJ
fbem-634	123	2	one	one	NUM
fbem-634	123	3	more	more	ADJ
fbem-634	123	4	unit	unit	NOUN
fbem-634	123	5	of	of	ADP
fbem-634	123	6	risk	risk	NOUN
fbem-634	123	7	is	be	AUX
fbem-634	123	8	taken	take	VERB
fbem-634	123	9	in	in	ADP
fbem-634	123	10	the	the	DET
fbem-634	123	11	stock	stock	NOUN
fbem-634	123	12	market	market	NOUN
fbem-634	123	13	,	,	PUNCT
fbem-634	123	14	an	an	DET
fbem-634	123	15	additional	additional	ADJ
fbem-634	123	16	return	return	NOUN
fbem-634	123	17	of	of	ADP
fbem-634	123	18	3.9987	3.9987	NUM
fbem-634	123	19	units	unit	NOUN
fbem-634	123	20	will	will	AUX
fbem-634	123	21	be	be	AUX
fbem-634	123	22	obtained	obtain	VERB
fbem-634	123	23	.	.	PUNCT
fbem-634	124	1	third	third	ADJ
fbem-634	124	2	,	,	PUNCT
fbem-634	124	3	the	the	DET
fbem-634	124	4	empirical	empirical	ADJ
fbem-634	124	5	analysis	analysis	NOUN
fbem-634	124	6	of	of	ADP
fbem-634	124	7	ar(4)-tgarch(1,1	ar(4)-tgarch(1,1	NOUN
fbem-634	124	8	)	)	PUNCT
fbem-634	124	9	model	model	NOUN
fbem-634	124	10	and	and	CCONJ
fbem-634	124	11	ar(4)-egarch(1,1	ar(4)-egarch(1,1	NOUN
fbem-634	124	12	)	)	PUNCT
fbem-634	124	13	model	model	NOUN
fbem-634	124	14	proves	prove	VERB
fbem-634	124	15	that	that	SCONJ
fbem-634	124	16	the	the	DET
fbem-634	124	17	shanghai	shanghai	PROPN
fbem-634	124	18	stock	stock	PROPN
fbem-634	124	19	market	market	NOUN
fbem-634	124	20	has	have	VERB
fbem-634	124	21	leverage	leverage	NOUN
fbem-634	124	22	effect	effect	NOUN
fbem-634	124	23	.	.	PUNCT
fbem-634	125	1	the	the	DET
fbem-634	125	2	negative	negative	ADJ
fbem-634	125	3	shock	shock	NOUN
fbem-634	125	4	of	of	ADP
fbem-634	125	5	"	"	PUNCT
fbem-634	125	6	bad	bad	ADJ
fbem-634	125	7	news	news	NOUN
fbem-634	125	8	"	"	PUNCT
fbem-634	125	9	has	have	VERB
fbem-634	125	10	a	a	DET
fbem-634	125	11	greater	great	ADJ
fbem-634	125	12	impact	impact	NOUN
fbem-634	125	13	on	on	ADP
fbem-634	125	14	the	the	DET
fbem-634	125	15	volatility	volatility	NOUN
fbem-634	125	16	of	of	ADP
fbem-634	125	17	the	the	DET
fbem-634	125	18	shanghai	shanghai	PROPN
fbem-634	125	19	stock	stock	PROPN
fbem-634	125	20	market	market	NOUN
fbem-634	125	21	than	than	ADP
fbem-634	125	22	the	the	DET
fbem-634	125	23	positive	positive	ADJ
fbem-634	125	24	shock	shock	NOUN
fbem-634	125	25	of	of	ADP
fbem-634	125	26	"	"	PUNCT
fbem-634	125	27	good	good	ADJ
fbem-634	125	28	news	news	NOUN
fbem-634	125	29	"	"	PUNCT
fbem-634	125	30	.	.	PUNCT
fbem-634	126	1	finally	finally	ADV
fbem-634	126	2	,	,	PUNCT
fbem-634	126	3	in	in	ADP
fbem-634	126	4	the	the	DET
fbem-634	126	5	results	result	NOUN
fbem-634	126	6	of	of	ADP
fbem-634	126	7	the	the	DET
fbem-634	126	8	model	model	NOUN
fbem-634	126	9	estimates	estimate	NOUN
fbem-634	126	10	in	in	ADP
fbem-634	126	11	the	the	DET
fbem-634	126	12	empirical	empirical	ADJ
fbem-634	126	13	part	part	NOUN
fbem-634	126	14	,	,	PUNCT
fbem-634	126	15	the	the	DET
fbem-634	126	16	coefficients	coefficient	NOUN
fbem-634	126	17	of	of	ADP
fbem-634	126	18	the	the	DET
fbem-634	126	19	arch	arch	ADJ
fbem-634	126	20	term	term	NOUN
fbem-634	126	21	and	and	CCONJ
fbem-634	126	22	the	the	DET
fbem-634	126	23	garch	garch	NOUN
fbem-634	126	24	term	term	NOUN
fbem-634	126	25	are	be	AUX
fbem-634	126	26	both	both	ADV
fbem-634	126	27	positive	positive	ADJ
fbem-634	126	28	,	,	PUNCT
fbem-634	126	29	and	and	CCONJ
fbem-634	126	30	the	the	DET
fbem-634	126	31	sum	sum	NOUN
fbem-634	126	32	of	of	ADP
fbem-634	126	33	the	the	DET
fbem-634	126	34	two	two	NUM
fbem-634	126	35	coefficients	coefficient	NOUN
fbem-634	126	36	is	be	AUX
fbem-634	126	37	less	less	ADJ
fbem-634	126	38	than	than	ADP
fbem-634	126	39	1	1	NUM
fbem-634	126	40	and	and	CCONJ
fbem-634	126	41	close	close	ADV
fbem-634	126	42	to	to	ADP
fbem-634	126	43	1	1	NUM
fbem-634	126	44	,	,	PUNCT
fbem-634	126	45	indicating	indicate	VERB
fbem-634	126	46	that	that	SCONJ
fbem-634	126	47	the	the	DET
fbem-634	126	48	volatility	volatility	NOUN
fbem-634	126	49	of	of	ADP
fbem-634	126	50	the	the	DET
fbem-634	126	51	shanghai	shanghai	PROPN
fbem-634	126	52	stock	stock	NOUN
fbem-634	126	53	market	market	NOUN
fbem-634	126	54	in	in	ADP
fbem-634	126	55	the	the	DET
fbem-634	126	56	past	past	NOUN
fbem-634	126	57	has	have	VERB
fbem-634	126	58	a	a	DET
fbem-634	126	59	continuous	continuous	ADJ
fbem-634	126	60	impact	impact	NOUN
fbem-634	126	61	on	on	ADP
fbem-634	126	62	the	the	DET
fbem-634	126	63	future	future	NOUN
fbem-634	126	64	.	.	PUNCT
fbem-634	127	1	acknowledgment	acknowledgment	NOUN
fbem-634	127	2	funding	funding	NOUN
fbem-634	127	3	project	project	NOUN
fbem-634	127	4	:	:	PUNCT
fbem-634	127	5	anhui	anhui	PROPN
fbem-634	127	6	university	university	PROPN
fbem-634	127	7	of	of	ADP
fbem-634	127	8	finance	finance	PROPN
fbem-634	127	9	and	and	CCONJ
fbem-634	127	10	economics	economic	NOUN
fbem-634	127	11	graduate	graduate	PROPN
fbem-634	127	12	research	research	NOUN
fbem-634	127	13	innovation	innovation	NOUN
fbem-634	127	14	fund	fund	NOUN
fbem-634	127	15	project	project	NOUN
fbem-634	127	16	(	(	PUNCT
fbem-634	127	17	acyc2020121	acyc2020121	PROPN
fbem-634	127	18	)	)	PUNCT
fbem-634	127	19	.	.	PUNCT
fbem-634	128	1	references	reference	NOUN
fbem-634	128	2	[	[	X
fbem-634	128	3	1	1	NUM
fbem-634	128	4	]	]	PUNCT
fbem-634	128	5	tang	tang	PROPN
fbem-634	128	6	qiming	qiming	NOUN
fbem-634	128	7	,	,	PUNCT
fbem-634	128	8	chen	chen	PROPN
fbem-634	128	9	jian	jian	PROPN
fbem-634	128	10	.	.	PROPN
fbem-634	129	1	arch	arch	ADJ
fbem-634	129	2	effect	effect	NOUN
fbem-634	129	3	analysis	analysis	NOUN
fbem-634	129	4	of	of	ADP
fbem-634	129	5	chinese	chinese	ADJ
fbem-634	129	6	stock	stock	NOUN
fbem-634	129	7	market	market	NOUN
fbem-634	130	1	[	[	X
fbem-634	130	2	j	j	X
fbem-634	130	3	]	]	X
fbem-634	130	4	.	.	PUNCT
fbem-634	131	1	world	world	NOUN
fbem-634	131	2	economy	economy	NOUN
fbem-634	131	3	,	,	PUNCT
fbem-634	131	4	2001(03):29	2001(03):29	NUM
fbem-634	131	5	-	-	SYM
fbem-634	131	6	36	36	NUM
fbem-634	131	7	.	.	PUNCT
fbem-634	132	1	[	[	X
fbem-634	132	2	2	2	NUM
fbem-634	132	3	]	]	PUNCT
fbem-634	132	4	li	li	PROPN
fbem-634	132	5	yajing	yajing	PROPN
fbem-634	132	6	,	,	PUNCT
fbem-634	132	7	zhu	zhu	PROPN
fbem-634	132	8	hongquan	hongquan	PROPN
fbem-634	132	9	,	,	PUNCT
fbem-634	132	10	peng	peng	PROPN
fbem-634	132	11	yuwei	yuwei	PROPN
fbem-634	132	12	.	.	PUNCT
fbem-634	133	1	prediction	prediction	NOUN
fbem-634	133	2	of	of	ADP
fbem-634	133	3	china	china	PROPN
fbem-634	133	4	's	's	PART
fbem-634	133	5	stock	stock	NOUN
fbem-634	133	6	market	market	NOUN
fbem-634	133	7	volatility	volatility	NOUN
fbem-634	133	8	based	base	VERB
fbem-634	133	9	on	on	ADP
fbem-634	133	10	garch	garch	NOUN
fbem-634	133	11	model	model	NOUN
fbem-634	133	12	family	family	NOUN
fbem-634	134	1	[	[	X
fbem-634	134	2	j	j	X
fbem-634	134	3	]	]	X
fbem-634	134	4	.	.	PUNCT
fbem-634	135	1	practice	practice	NOUN
fbem-634	135	2	and	and	CCONJ
fbem-634	135	3	understanding	understanding	NOUN
fbem-634	135	4	of	of	ADP
fbem-634	135	5	mathematics	mathematic	NOUN
fbem-634	135	6	,	,	PUNCT
fbem-634	135	7	2003(11):65	2003(11):65	NUM
fbem-634	135	8	-	-	SYM
fbem-634	135	9	71	71	NUM
fbem-634	135	10	.	.	PUNCT
fbem-634	136	1	[	[	X
fbem-634	136	2	3	3	X
fbem-634	136	3	]	]	X
fbem-634	136	4	yan	yan	PROPN
fbem-634	136	5	dingqi	dingqi	PROPN
fbem-634	136	6	,	,	PUNCT
fbem-634	136	7	li	li	PROPN
fbem-634	136	8	yufeng	yufeng	PROPN
fbem-634	136	9	.	.	PUNCT
fbem-634	137	1	prediction	prediction	NOUN
fbem-634	137	2	of	of	ADP
fbem-634	137	3	csi	csi	PROPN
fbem-634	137	4	300	300	NUM
fbem-634	137	5	index	index	NOUN
fbem-634	137	6	volatility	volatility	NOUN
fbem-634	137	7	based	base	VERB
fbem-634	137	8	on	on	ADP
fbem-634	137	9	garch	garch	NOUN
fbem-634	137	10	family	family	NOUN
fbem-634	137	11	models	model	NOUN
fbem-634	138	1	[	[	X
fbem-634	138	2	j	j	X
fbem-634	138	3	]	]	X
fbem-634	138	4	.	.	PUNCT
fbem-634	139	1	journal	journal	PROPN
fbem-634	139	2	of	of	ADP
fbem-634	139	3	lanzhou	lanzhou	PROPN
fbem-634	139	4	jiaotong	jiaotong	PROPN
fbem-634	139	5	university	university	PROPN
fbem-634	139	6	,	,	PUNCT
fbem-634	139	7	2008(01):92	2008(01):92	NUM
fbem-634	139	8	-	-	SYM
fbem-634	139	9	95	95	NUM
fbem-634	139	10	.	.	PUNCT
fbem-634	140	1	[	[	X
fbem-634	140	2	4	4	X
fbem-634	140	3	]	]	X
fbem-634	140	4	luo	luo	PROPN
fbem-634	140	5	yang	yang	PROPN
fbem-634	140	6	,	,	PUNCT
fbem-634	140	7	yang	yang	PROPN
fbem-634	140	8	guiyuan	guiyuan	PROPN
fbem-634	140	9	.	.	PUNCT
fbem-634	141	1	research	research	NOUN
fbem-634	141	2	on	on	ADP
fbem-634	141	3	shanghai	shanghai	PROPN
fbem-634	141	4	stock	stock	NOUN
fbem-634	141	5	market	market	NOUN
fbem-634	141	6	volatility	volatility	NOUN
fbem-634	141	7	based	base	VERB
fbem-634	141	8	on	on	ADP
fbem-634	141	9	garch	garch	NOUN
fbem-634	141	10	model	model	NOUN
fbem-634	142	1	[	[	X
fbem-634	142	2	j	j	X
fbem-634	142	3	]	]	X
fbem-634	142	4	.	.	PUNCT
fbem-634	143	1	statistics	statistic	NOUN
fbem-634	143	2	and	and	CCONJ
fbem-634	143	3	decision	decision	NOUN
fbem-634	143	4	,	,	PUNCT
fbem-634	143	5	2013(12):162	2013(12):162	NUM
fbem-634	143	6	-	-	SYM
fbem-634	143	7	165	165	NUM
fbem-634	143	8	.	.	PUNCT
fbem-634	144	1	[	[	X
fbem-634	144	2	5	5	NUM
fbem-634	144	3	]	]	SYM
fbem-634	144	4	wu	wu	PROPN
fbem-634	144	5	qianwen	qianwen	PROPN
fbem-634	144	6	.	.	PUNCT
fbem-634	145	1	an	an	DET
fbem-634	145	2	empirical	empirical	ADJ
fbem-634	145	3	analysis	analysis	NOUN
fbem-634	145	4	of	of	ADP
fbem-634	145	5	the	the	DET
fbem-634	145	6	return	return	NOUN
fbem-634	145	7	on	on	ADP
fbem-634	145	8	the	the	DET
fbem-634	145	9	shanghai	shanghai	PROPN
fbem-634	145	10	stock	stock	PROPN
fbem-634	145	11	exchange	exchange	PROPN
fbem-634	145	12	index	index	PROPN
fbem-634	145	13	:	:	PUNCT
fbem-634	145	14	based	base	VERB
fbem-634	145	15	on	on	ADP
fbem-634	145	16	the	the	DET
fbem-634	145	17	arch	arch	ADJ
fbem-634	145	18	family	family	NOUN
fbem-634	145	19	model	model	NOUN
fbem-634	146	1	[	[	X
fbem-634	146	2	j	j	X
fbem-634	146	3	]	]	X
fbem-634	146	4	.	.	PUNCT
fbem-634	147	1	regional	regional	ADJ
fbem-634	147	2	finance	finance	NOUN
fbem-634	147	3	research	research	NOUN
fbem-634	147	4	,	,	PUNCT
fbem-634	147	5	2014(04):42	2014(04):42	NUM
fbem-634	147	6	-	-	SYM
fbem-634	147	7	48	48	NUM
fbem-634	147	8	.	.	PUNCT
fbem-634	148	1	[	[	X
fbem-634	148	2	6	6	NUM
fbem-634	148	3	]	]	X
fbem-634	148	4	zheng	zheng	PROPN
fbem-634	148	5	tingguo	tingguo	PROPN
fbem-634	148	6	,	,	PUNCT
fbem-634	148	7	shang	shang	PROPN
fbem-634	148	8	yuhuang	yuhuang	PROPN
fbem-634	148	9	.	.	PROPN
fbem-634	148	10	measurement	measurement	NOUN
fbem-634	148	11	and	and	CCONJ
fbem-634	148	12	prediction	prediction	NOUN
fbem-634	148	13	of	of	ADP
fbem-634	148	14	stock	stock	NOUN
fbem-634	148	15	market	market	NOUN
fbem-634	148	16	volatility	volatility	NOUN
fbem-634	148	17	based	base	VERB
fbem-634	148	18	on	on	ADP
fbem-634	148	19	macro	macro	ADJ
fbem-634	148	20	fundamentals	fundamental	NOUN
fbem-634	148	21	[	[	X
fbem-634	148	22	j	j	X
fbem-634	148	23	]	]	X
fbem-634	148	24	.	.	PUNCT
fbem-634	149	1	world	world	NOUN
fbem-634	149	2	economy	economy	NOUN
fbem-634	149	3	,	,	PUNCT
fbem-634	149	4	2014	2014	NUM
fbem-634	149	5	,	,	PUNCT
fbem-634	149	6	37(12	37(12	NUM
fbem-634	149	7	):	):	PUNCT
fbem-634	149	8	118	118	NUM
fbem-634	149	9	-	-	SYM
fbem-634	149	10	139	139	NUM
fbem-634	149	11	.	.	PUNCT
fbem-634	150	1	[	[	X
fbem-634	150	2	7	7	NUM
fbem-634	150	3	]	]	X
fbem-634	150	4	zhu	zhu	PROPN
fbem-634	150	5	jing	jing	PROPN
fbem-634	150	6	,	,	PUNCT
fbem-634	150	7	zhang	zhang	PROPN
fbem-634	150	8	jing	jing	PROPN
fbem-634	150	9	,	,	PUNCT
fbem-634	150	10	fu	fu	PROPN
fbem-634	150	11	yunpeng	yunpeng	PROPN
fbem-634	150	12	.	.	PUNCT
fbem-634	151	1	measurement	measurement	NOUN
fbem-634	151	2	and	and	CCONJ
fbem-634	151	3	empirical	empirical	ADJ
fbem-634	151	4	analysis	analysis	NOUN
fbem-634	151	5	of	of	ADP
fbem-634	151	6	stock	stock	NOUN
fbem-634	151	7	index	index	NOUN
fbem-634	151	8	var	var	NOUN
fbem-634	151	9	based	base	VERB
fbem-634	151	10	on	on	ADP
fbem-634	151	11	asymmetric	asymmetric	ADJ
fbem-634	151	12	garch	garch	NOUN
fbem-634	151	13	model	model	NOUN
fbem-634	152	1	[	[	X
fbem-634	152	2	j	j	X
fbem-634	152	3	]	]	X
fbem-634	152	4	.	.	PUNCT
fbem-634	153	1	market	market	NOUN
fbem-634	153	2	weekly	weekly	NOUN
fbem-634	153	3	(	(	PUNCT
fbem-634	153	4	theoretical	theoretical	ADJ
fbem-634	153	5	research	research	NOUN
fbem-634	153	6	)	)	PUNCT
fbem-634	153	7	,	,	PUNCT
fbem-634	153	8	2015(09):79	2015(09):79	NUM
fbem-634	153	9	-	-	SYM
fbem-634	153	10	81	81	NUM
fbem-634	153	11	.	.	PUNCT
fbem-634	154	1	[	[	X
fbem-634	154	2	8	8	NUM
fbem-634	154	3	]	]	X
fbem-634	154	4	pagan	pagan	VERB
fbem-634	154	5	a	a	DET
fbem-634	154	6	r	r	NOUN
fbem-634	154	7	,	,	PUNCT
fbem-634	154	8	schwert	schwert	NOUN
fbem-634	154	9	g	g	NOUN
fbem-634	154	10	w.alternative	w.alternative	ADJ
fbem-634	154	11	models	model	NOUN
fbem-634	154	12	for	for	ADP
fbem-634	154	13	conditional	conditional	ADJ
fbem-634	154	14	stock	stock	NOUN
fbem-634	154	15	market	market	NOUN
fbem-634	154	16	volatility[j].journal	volatility[j].journal	NOUN
fbem-634	154	17	of	of	ADP
fbem-634	154	18	econometrics,1990(12	econometrics,1990(12	PROPN
fbem-634	154	19	)	)	PUNCT
fbem-634	154	20	:	:	PUNCT
fbem-634	154	21	267	267	NUM
fbem-634	154	22	-	-	SYM
fbem-634	154	23	290	290	NUM
fbem-634	154	24	.	.	PUNCT
fbem-634	155	1	[	[	X
fbem-634	155	2	9	9	NUM
fbem-634	155	3	]	]	PUNCT
fbem-634	155	4	danielsson	danielsson	NOUN
fbem-634	155	5	j.stochastic	j.stochastic	ADJ
fbem-634	155	6	volatility	volatility	NOUN
fbem-634	155	7	in	in	ADP
fbem-634	155	8	asset	asset	NOUN
fbem-634	155	9	prices	price	NOUN
fbem-634	155	10	estimation	estimation	NOUN
fbem-634	155	11	with	with	ADP
fbem-634	155	12	simulated	simulated	ADJ
fbem-634	155	13	maximum	maximum	ADJ
fbem-634	155	14	likelihood[j].j.econometrics	likelihood[j].j.econometric	NOUN
fbem-634	155	15	,	,	PUNCT
fbem-634	155	16	1994	1994	NUM
fbem-634	155	17	,	,	PUNCT
fbem-634	155	18	64(1	64(1	NUM
fbem-634	155	19	-	-	ADJ
fbem-634	155	20	2):375	2):375	NUM
fbem-634	155	21	-	-	PUNCT
fbem-634	155	22	400	400	NUM
fbem-634	155	23	.	.	PUNCT
fbem-634	156	1	[	[	X
fbem-634	156	2	10	10	NUM
fbem-634	156	3	]	]	X
fbem-634	156	4	awartani	awartani	PROPN
fbem-634	156	5	b	b	PROPN
fbem-634	156	6	,	,	PUNCT
fbem-634	156	7	corradi	corradi	NOUN
fbem-634	156	8	v.predicting	v.predicte	VERB
fbem-634	156	9	the	the	DET
fbem-634	156	10	volatility	volatility	NOUN
fbem-634	156	11	of	of	ADP
fbem-634	156	12	the	the	DET
fbem-634	156	13	s&p-500	s&p-500	NUM
fbem-634	156	14	stock	stock	NOUN
fbem-634	156	15	index	index	NOUN
fbem-634	156	16	via	via	ADP
fbem-634	156	17	garch	garch	NOUN
fbem-634	156	18	models	model	NOUN
fbem-634	156	19	:	:	PUNCT
fbem-634	156	20	the	the	DET
fbem-634	156	21	role	role	NOUN
fbem-634	156	22	of	of	ADP
fbem-634	156	23	asymmetries[j].international	asymmetries[j].international	ADJ
fbem-634	156	24	journal	journal	NOUN
fbem-634	156	25	of	of	ADP
fbem-634	156	26	forecasting	forecasting	NOUN
fbem-634	156	27	,	,	PUNCT
fbem-634	156	28	2005,21(1):167	2005,21(1):167	PROPN
fbem-634	156	29	-	-	PUNCT
fbem-634	156	30	183	183	NUM
fbem-634	156	31	.	.	PUNCT
fbem-634	157	1	[	[	X
fbem-634	157	2	11	11	NUM
fbem-634	157	3	]	]	X
fbem-634	157	4	sabiruzzaman	sabiruzzaman	PROPN
fbem-634	157	5	m	m	PROPN
fbem-634	157	6	,	,	PUNCT
fbem-634	158	1	huq	huq	PROPN
fbem-634	158	2	m	m	PROPN
fbem-634	158	3	m	m	VERB
fbem-634	158	4	,	,	PUNCT
fbem-634	158	5	beg	beg	VERB
fbem-634	158	6	r	r	NOUN
fbem-634	158	7	a	a	PRON
fbem-634	158	8	,	,	PUNCT
fbem-634	158	9	et	et	NOUN
fbem-634	158	10	al.modeling	al.modeling	NOUN
fbem-634	158	11	and	and	CCONJ
fbem-634	158	12	forecasting	forecast	VERB
fbem-634	158	13	trading	trading	NOUN
fbem-634	158	14	volume	volume	NOUN
fbem-634	158	15	index	index	NOUN
fbem-634	158	16	:	:	PUNCT
fbem-634	158	17	garch	garch	NOUN
fbem-634	158	18	versus	versus	ADP
fbem-634	158	19	tgarch	tgarch	NOUN
fbem-634	158	20	approach[j].quarterly	approach[j].quarterly	ADV
fbem-634	158	21	review	review	NOUN
fbem-634	158	22	of	of	ADP
fbem-634	158	23	economics	economic	NOUN
fbem-634	158	24	&	&	CCONJ
fbem-634	158	25	finance	finance	PROPN
fbem-634	158	26	,	,	PUNCT
fbem-634	158	27	2010,50(2):141	2010,50(2):141	PROPN
fbem-634	158	28	-	-	SYM
fbem-634	158	29	145	145	NUM
fbem-634	158	30	.	.	PUNCT
fbem-634	159	1	[	[	X
fbem-634	159	2	12	12	NUM
fbem-634	159	3	]	]	PUNCT
fbem-634	159	4	girardin	girardin	NOUN
fbem-634	159	5	e	e	PROPN
fbem-634	159	6	,	,	PUNCT
fbem-634	159	7	joyeux	joyeux	X
fbem-634	159	8	r.macro	r.macro	ADJ
fbem-634	159	9	fundamentals	fundamental	NOUN
fbem-634	159	10	as	as	ADP
fbem-634	159	11	a	a	DET
fbem-634	159	12	source	source	NOUN
fbem-634	159	13	of	of	ADP
fbem-634	159	14	stock	stock	NOUN
fbem-634	159	15	market	market	NOUN
fbem-634	159	16	volatility	volatility	NOUN
fbem-634	159	17	in	in	ADP
fbem-634	159	18	china	china	PROPN
fbem-634	159	19	:	:	PUNCT
fbem-634	159	20	a	a	DET
fbem-634	159	21	garch	garch	NOUN
fbem-634	159	22	-	-	PUNCT
fbem-634	159	23	midas	midas	PROPN
fbem-634	159	24	approach[j	approach[j	PROPN
fbem-634	159	25	]	]	PUNCT
fbem-634	159	26	.	.	PUNCT
fbem-634	160	1	economic	economic	ADJ
fbem-634	160	2	modelling	modelling	NOUN
fbem-634	160	3	,	,	PUNCT
fbem-634	160	4	2013,34:59	2013,34:59	NUM
fbem-634	160	5	-	-	SYM
fbem-634	160	6	68	68	NUM
fbem-634	160	7	.	.	PUNCT
fbem-634	161	1	[	[	X
fbem-634	161	2	13	13	NUM
fbem-634	161	3	]	]	X
fbem-634	161	4	sharma	sharma	PROPN
fbem-634	161	5	p	p	X
fbem-634	161	6	,	,	PUNCT
fbem-634	161	7	vipul.forecasting	vipul.forecaste	VERB
fbem-634	161	8	stock	stock	NOUN
fbem-634	161	9	market	market	NOUN
fbem-634	161	10	volatility	volatility	NOUN
fbem-634	161	11	using	use	VERB
fbem-634	161	12	realized	realize	VERB
fbem-634	161	13	garch	garch	NOUN
fbem-634	161	14	model	model	NOUN
fbem-634	161	15	:	:	PUNCT
fbem-634	161	16	international	international	ADJ
fbem-634	161	17	evidence[j].the	evidence[j].the	DET
fbem-634	161	18	quarterly	quarterly	ADJ
fbem-634	161	19	review	review	NOUN
fbem-634	161	20	of	of	ADP
fbem-634	161	21	economics	economic	NOUN
fbem-634	161	22	and	and	CCONJ
fbem-634	161	23	finance	finance	NOUN
fbem-634	161	24	,	,	PUNCT
fbem-634	161	25	2016,59:222	2016,59:222	PROPN
fbem-634	161	26	-	-	SYM
fbem-634	161	27	230	230	NUM
fbem-634	161	28	.	.	PUNCT