| 证券市场波动性评价方法研究 |
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| 引用本文： | 张博,殷仲民.证券市场波动性评价方法研究[J].中国管理科学,2008(Z1). |
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| 作者姓名： | 张博 殷仲民 |
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| 作者单位： | 西安理工大学工商管理学院; |
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| 基金项目： | 国家社会科学基金资助项目(04XJY041) |
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| 摘 要： | 研究了将ARMA模型与ARCH族模型相结合,通过建立ARMA-EGARCH-M模型来拟合证券市场波动性,基于大样本数据通过样本期内外模型预测能力检验,得出结论认为ARMA-EGARCH-M模型对上海证券市场波动性拟合优于传统的ARCH族模型。
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| 关 键 词： | 波动性 自回归条件异方差 时间序列 |
Study on Securities Market Volatility Appraisal Methods |
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| ZHANG Bo,YIN Zhong-min.Study on Securities Market Volatility Appraisal Methods[J].Chinese Journal of Management Science,2008(Z1). |
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| Authors: | ZHANG Bo YIN Zhong-min |
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| Institution: | ZHANG Bo,YIN Zhong-min (Faculty of Business Administration,Xi' an University of Technology,Xi'an 710054,China) |
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| Abstract: | The authors study the securities market volatility appraisal methods through establishing ARMAEGARCH -M model by joining ARMA model with ARCH group models.By examination of measuring indices for forecasting error based on mass sample,it's concluded in the paper that ARMA-EGARCH-M model surpasses ARCH group models on Shanghai securities market volatility fitting. |
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| Keywords: | volatility ARCH time series |
| 本文献已被 CNKI 等数据库收录！ |
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