| 中国股票市场的非线性分析 |
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| 引用本文： | 臧玉卫,张慎峰,吴育华. 中国股票市场的非线性分析[J]. 天津大学学报(社会科学版), 2005, 7(6): 417-420 |
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| 作者姓名： | 臧玉卫 张慎峰 吴育华 |
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| 作者单位： | 天津大学管理学院,天津,300072 |
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| 摘 要： | 大多数时间序列往往具有变方差的非线性特性,即某些时期的波动特别剧烈,而另一时期的波动又相对平 稳。对中国股票市场的非线性现象进行分析,发现上证综合指数和深证成分指数分布显示中国股票市场非线性现 象十分明显。在分析数据的基础上,建立了上证综合指数和深证成分指数的广义自回归条件异方差(GARCH)和 自回归移动平均(ARMA)预测模型,并分析了中国股票市场的几个非线性特征。
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| 关 键 词： | 收益率 广义自回归条件异方差 自回归移动平均 |
| 文章编号： | 1008-4339(2005)06-0417-04 |
| 修稿时间： | 2004-12-12 |
Non-Linear Analysis of Chinese Stock Market |
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| ZANG Yu-wei,ZHANG Shen-feng,WU Yu-hua. Non-Linear Analysis of Chinese Stock Market[J]. Journal of Tianjin University(Social Sciences), 2005, 7(6): 417-420 |
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| Authors: | ZANG Yu-wei ZHANG Shen-feng WU Yu-hua |
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| Abstract: | Most variances of time series have non-linear characteristics, that is, the variances change acutely sometimes, while they stay stable at other time. The non-linear feature of Chinese stock market is analyzed. The data distribution of Shanghai and Shenzhen stock markets shows that the non-linear feature of Chinese security market is obvious. GARCH and ARMA prediction models are constructed on condition of the analyzed data, and several conclusions about the non-linear characteristics of Chinese security market are drawn. |
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| Keywords: | rate of return generilized auto regressive conditional heteroskedastic auto regressive moving average |
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