New JLS-Factor Model versus the Standard JLS Model: A Case Study on Chinese Stock Bubbles

Figure 3

Daily trajectory of the SZSC from 2005/11/15 to 2008/10/17 by using the JLS-factor model presented in (10) with . The fit of SZSC from 2005/11/15 to 2007/11/28 is illustrated in (a) as a red solid line, whose parameters are = 2007/10/08, = 0.07, = 1.86, = 0.07, = 20506.38, = −4784674.93, = 4780598.98, = −183.50, = −296.39, = 118.94, and = 1.87 with an r.m.s. of the fit residuals = 523.35. The fit of SZSC from 2007/11/29 to 2008/10/17 is illustrated in (b) as a red solid line, whose parameters are = 2008/01/15, = 14.85, = 0.53, = 2.82, = 12998.06, = −12652.93, = 1164.16, = 861.36, = −275.90, = 101.22, and = 4.89 with an r.m.s. of the fit residuals = 561.68.

(a) 05/11/15–07/11/28 SZSC bubble

(b) 07/11/29–08/10/17 SZSC bubble