| 不同分布下GARCH和EGARCH模型对上海股市的比较研究 |
| |
| 引用本文： | 庞磊,王宇新.不同分布下GARCH和EGARCH模型对上海股市的比较研究[J].安徽职业技术学院学报,2007,6(2):34-36. |
| |
| 作者姓名： | 庞磊 王宇新 |
| |
| 作者单位： | 1. 铜陵有色金属集团公司,安徽,铜陵,244000
2. 合肥工业大学,人文经济学院,安徽,合肥,230009 |
| |
| 摘 要： | 在正态分布t、分布和广义误差分布三种不同的分布假设下,利用GARCH(1,1)和EGARCH(1,1)模型对上海股市进行了实证比较研究,结果表明基于t分布假设下的EGARCH模型拟合效果最好,更能准确的描述上海股市的波动性。
|
| 关 键 词： | GARCH模型簇 波动性 上海股市 |
| 文章编号： | 1672-9536（2007）02-0034-03 |
| 修稿时间： | 2007-03-12 |
The Comparative Research on Shanghai Stock Market Between the GARCH and EGARCH Model Under Different Distributions |
| |
| PANG Lei,WANG Yu-xin.The Comparative Research on Shanghai Stock Market Between the GARCH and EGARCH Model Under Different Distributions[J].Journal of Anhui Vocationcal Technical College,2007,6(2):34-36. |
| |
| Authors: | PANG Lei WANG Yu-xin |
| |
| Abstract: | In this paper GARCH(1,1) and EGARCH(1,1) models are used to study the Shanghai Stock Market under three different distributions such as normal distribution,student-t distribution and generalized error distribution.The empirical results show that the EGARCH model under student-t distribution is the best model to fit the volatility of Shanghai Stock Market. |
| |
| Keywords: | GARCH models volatility Shanghai Stock Market |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
