| 稳定分布及其在GARCH中的运用 |
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| 引用本文： | 易艳红,周石鹏.稳定分布及其在GARCH中的运用[J].上海理工大学学报(社会科学版),2003,25(3):300-303. |
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| 作者姓名： | 易艳红 周石鹏 |
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| 作者单位： | 上海理工大学管理学院，上海理工大学管理学院 上海 200093，上海 200093 |
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| 摘 要： | 用稳定分布的特征函数和Fourier变换得到稳定分布的参数估计和概率密度．应用稳定分布对上证交易所的综合指数进行分布拟合，并建立了GARCH-稳定模型，探讨稳定分布对GARCH模型的影响．
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| 关 键 词： | 稳定分布 分布拟合 GARCH-正态模型 GARCH-稳定模型 |
Stable distribution and its application in GARCH |
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| Yl Yan-hong,ZHOU Shi-peng.Stable distribution and its application in GARCH[J].Journal of University of Shanghai For Science and Technilogy(Social Science),2003,25(3):300-303. |
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| Authors: | Yl Yan-hong ZHOU Shi-peng |
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| Abstract: | The estimated parameter and probability density of stable distribution are obtained by its character function and the Fourier transform. At the same time the stable distribution is applied to fit the Shanghai Stocks Exchange Composite index and the model of GARCH-stable is built up which is supposed to obey the stable distribution in its conditional equation. It is observed that the stable distribution is more suitable to describe the distribution of stocks market in China than the normal distribution and thus the capability to forecast the volatility is advanced. |
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| Keywords: | stable distribution distribution fitting GARCH-normal model GARCH-stable model |
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