| 上证指数收益率的ARCH族模型与实证分析 |
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| 引用本文： | 杨欢.上证指数收益率的ARCH族模型与实证分析[J].郧阳师范高等专科学校学报,2011,31(6):42-44. |
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| 作者姓名： | 杨欢 |
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| 作者单位： | 重庆青年职业技术学院基础部,重庆,400712 |
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| 摘 要： | 应用广义自回归条件异方差GARCH模型对上海股市1999年6月30日至2007年6月29日上证指数收益率进行建模分析.结果反映上证指数收益率具有明显的聚集性、波动性、尖峰厚尾的特征,ARCH族模型较好的拟合了上证指数收益率序列.
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| 关 键 词： | 上证指数 波动性 GARCH模型 |
GARCH Model of Shanghai Stock Index Return and Empirical Analysis |
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| YANG-Huan.GARCH Model of Shanghai Stock Index Return and Empirical Analysis[J].Journal of Yunyang Teachers College,2011,31(6):42-44. |
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| Authors: | YANG-Huan |
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| Institution: | YANG-Huan(General Department,Chongqing Youth Vocational & Technical College,Chongqing 400712,China) |
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| Abstract: | GARCH model has been used to made an empirical analysis of Shanghai stock index return from June 30,1999 to June 29,2007,the results show that the return is of striking aggregation,volatility and sharp peak and thick tail and that GARCH model is well conforming to Shanghai stock index return sequence. |
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| Keywords: | Shanghai stock index volatility GARCH model |
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