| 股票市场波动预测的ARCH族模型选择 |
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| 引用本文： | 庄彬惠,曾五一. 股票市场波动预测的ARCH族模型选择[J]. 统计与信息论坛, 2006, 21(4): 48-52 |
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| 作者姓名： | 庄彬惠 曾五一 |
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| 作者单位： | 厦门大学,经济学院,福建,厦门,361005 |
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| 摘 要： | 文章基于单步向前预测法,寻找对不同ARCH族波动预测模型进行选择的方法和评判标准,并以上证指数为例,根据有关评判标准,寻找适合我国股市的ARCH波动预测模型。
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| 关 键 词： | GARCH 指数EGARCH 非对称TGARCH 均值GARCH-M 单步向前预测法 |
| 文章编号： | 1007-3116(2006)04-0048-05 |
| 修稿时间： | 2006-01-06 |
The Selection of ARCH Group Models of Volatility Forecasting in Stock Market |
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| ZHUANG Bin-hui,ZENG Wu-yi. The Selection of ARCH Group Models of Volatility Forecasting in Stock Market[J]. Statistics & Information Tribune, 2006, 21(4): 48-52 |
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| Authors: | ZHUANG Bin-hui ZENG Wu-yi |
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| Abstract: | On the basis of step-by-step forward forecasting method,this paper finds the method and(standard) for selecting the best one from different ARCH group models of volatility forecasting,taking the(example) of the composite index of Shanghai stock market,and finds the most suitable ARCH volatility(forecasting) model in China according to the relevant standard. |
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| Keywords: | GARCH EGARCH index asymmetrical TGARCH GARCH-M mean step-by-step (forward)(forecasting) method |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
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