GARCH模型对上证综合指数的检验
GARCH model for the Shanghai Composite Index test
GARCH模型是近20年发展起来的时间序列模型,它反映了经济变量之间特殊的不确定形式:方差随时间变化而变化,所以其在金融市场的预测与决策方面有着重要的作用。本文以GARCH模型以及其主要变形为基础,并建立了基于t分布和正态分布假设的GARCH(1, 1)模型对上海股票市场进行了风险分析。结果表明,基于t分布的假设能更准确地拟合GARCH(1, 1)模型。
RCH model is a chronological model which has developed in last 20 years. It reflects the uncertain economic variable forms. Variant changes as the time goes on. So it plays a vital role in the forecast and decision-making of financial markets. The foundation of this article is CARCH model and its main varies. And build possible GARCH(1, 1) model of T-distribution and normal distribution, which gave risk analysis to Shanghai stock market. The results suggest that the assumption of T-distribution can be much more exactly in fitting GARCH(1, 1) model.
习鹏程、沈超
财政、金融
上证综合指数方差GARCH模型预测
Shanghai Composite IndexvarianceGARCH modelforecast
习鹏程,沈超.GARCH模型对上证综合指数的检验[EB/OL].(2009-02-26)[2025-08-23].http://www.paper.edu.cn/releasepaper/content/200902-1386.点此复制
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