| 基于多尺度分析理论的中国股票市场波动的实证研究 |
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| 引用本文： | 曾裕杨,彭选华.基于多尺度分析理论的中国股票市场波动的实证研究[J].科技与管理,2007,9(2):81-84. |
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| 作者姓名： | 曾裕杨 彭选华 |
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| 作者单位： | 1. 深圳发展银行,重庆分行,重庆,400015
2. 重庆大学,数理学院,重庆,400044 |
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| 摘 要： | 运用多尺度分析理论研究中国股票市场的波动，借助MATLAB 7.3软件的小波分析工具箱（wavelet toolbox）和广义自回归条件异方差模型工具箱（GARCH toolbox），对上证综合指数收益率序列进行时域分析和多尺度分析，结果表明多尺度分析更能捕捉到中国股市的波动特点，明显提高GARCH模型的仿真预测精度。
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| 关 键 词： | 股市波动 多尺度分析 小波变换 广义自回归条件异方差模型 |
| 文章编号： | 1008-7133(2007)02-0081-03 |
| 修稿时间： | 2006年12月18 |
Research on the persistence of Chinese stock market volatility based on a multi-resolution analysis theory |
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| ZENG Yu-yang,PENG Xuan-hua.Research on the persistence of Chinese stock market volatility based on a multi-resolution analysis theory[J].Science-Technology and Management,2007,9(2):81-84. |
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| Authors: | ZENG Yu-yang PENG Xuan-hua |
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| Abstract: | The paper uses the Multi-resolution Analysis Theory to study the volatility of Chinese stock markets,with the help of Wavelet-toolbox and GARCH-toolbox of the software MATLAB 7.3.The paper also analyzes the volatility and persistence of the volatility of Shanghai stock index:the distribution of the rate of return is non-positive skewed.This paper simulates and predictes the volatility of Shanghai stock index by GARCH Models and the result shows that the Multi-resolution Analysis Theory is effective in the simulation and prediction of the volatility of Shanghai stock index. |
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| Keywords: | volatility in stock market multi-resolution analysis wavelet transform GARCH model |
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