| 我国股票价格序列波动的GARCH拟合 |
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| 引用本文： | 周辉,秦松涛.我国股票价格序列波动的GARCH拟合[J].湖南第一师范学报,2005,5(4):69-72,78. |
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| 作者姓名： | 周辉 秦松涛 |
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| 作者单位： | 1. 湖南省第一师范学校教务处,湖南,长沙,410002
2. 吉首大学信息工程系,湖南,张家界,427000 |
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| 摘 要： | 股票市场最令人捉摸不透也最具吸引力的是波动不已的股票价格。本文以上证综合指教日收盘价格序列为样本。应用GARCH类模型研究了我国股票价格序列的波动性。结果表明，我国股市股票价格波动具有自回归条件异方差特征。非对称的TGARCH模型能较好的拟合我国股市的股票价格序列波动，印证了利空消息比利好消息对我国股市有更大影响的实际。
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| 关 键 词： | 股市 股票价格 股市波动 GARCH模型 |
| 文章编号： | 1671-4369（2005）04-0069-05 |
| 收稿时间： | 2005-10-17 |
| 修稿时间： | 2005年10月17 |
Modeling on the Fluctuation of Chinese Stock Market by GARCH Models |
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| Zhou Hui,Qin Song-tao.Modeling on the Fluctuation of Chinese Stock Market by GARCH Models[J].Journal of First Teachers College of Hunan,2005,5(4):69-72,78. |
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| Authors: | Zhou Hui Qin Song-tao |
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| Abstract: | The fluctuating stock price is the most unfathomable but also the most attractive element in the stock market.This paper studies the volatility of the stock price series in China's stock market by GARCH models,chooses the comprehensive index of Shanghai Stock Exchange as a sample.The empirical results show that the volatility of stock price series in China's stock market is characteristic of autoregressive conditional heteroskedasticity,and the TGARCH model is a better model for the volatility of stock price series in China's stock market.The results verify that the bad news has bigger influence on stock market than the good news. |
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| Keywords: | stock market stock price stock market volatility GARCH model |
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