| 基于GARCH族模型的中国旅游酒店板块指数收益率波动分析 |
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| 引用本文： | 刘霁雯,梁峰,向华. 基于GARCH族模型的中国旅游酒店板块指数收益率波动分析[J]. 统计与信息论坛, 2010, 25(4): 63-68 |
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| 作者姓名： | 刘霁雯 梁峰 向华 |
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| 作者单位： | 1. 华东师范大学,商学院,上海,200241
2. 上海金融学院,信息管理学院,上海,201209 |
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| 基金项目： | 华东师范大学2008级优秀博士研究生培养基金 |
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| 摘 要： | 运用GARCH族模型分析旅游酒店板块指数日收益率的波动特征，研究表明：旅游酒店板块收益率是一个平稳过程，其波动具有“聚集”现象和“非对称效应”。GARCH（2，1）模型比GARCH（1，1）模型更好地消除了收益率序列的异方差性；TARCH（2，1）模型的拟合效果最好；GARCH—M模型和非对称的CARCH（1，1）模型都不适用于描述收益率的波动特征。
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| 关 键 词： | 旅游酒店板块指数 收益率 GARCH族模型 |
Volatility Analysis on the Tourism and Hotel Share Index Rate of Return Based on the GARCH Family Models |
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| LIU Ji-wen,LIANG Feng,XIANG Hua. Volatility Analysis on the Tourism and Hotel Share Index Rate of Return Based on the GARCH Family Models[J]. Statistics & Information Tribune, 2010, 25(4): 63-68 |
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| Authors: | LIU Ji-wen LIANG Feng XIANG Hua |
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| Affiliation: | LIU Ji-wen1,LIANG Feng1,XIANG Hua2(1.School of Business,East China Normal University,Shanghai 200241,China,2.School of Information Management,Shanghai Finance University,Shanghai 201209,China) |
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| Abstract: | In this paper,we applied the GARCH family models to analyze the volatility of the tourism and hotel share index rate of return.The research suggests that the tourism and hotel stock share index rate of return is a stationary random process,with fluctuation of cluster phenomenon and non-symmetry effect.GARCH(2,1)model eliminates the heteroscedasticity better than the GARCH(1,1) model.TARCH(2,1) model fits the series better.The GARCH-M model and the non-symmetrical CARCH(1,1) model can't be applied to describ... |
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| Keywords: | tourism and hotel share index rate of return GARCH family models |
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