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基于GARCH模型族的中国股市波动性预测
李亚静1; 朱宏泉2; 彭育威3
2003
Source Publication数学的实践与认识
ISSN1000-0984
Volume033Issue:011Pages:65
Abstract收益与风险历来都是投资者与研究者所关注的问题,本文选取GARCH、TGARCH和EGARCH模型来拟合中国股市的波动性。实证分析结果表明,中国股市的波动具有显著的波动聚类性与持续性;由EGARCH模型所预测的上证30指数、上证综合指数和深证成份指数未来一天的波动要明显优于GARCH和TGARCH模型的对应值,而对香港恒生指数,三种模型的预测结果无显著的差异。
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/49476
Collection中国科学院数学与系统科学研究院
Affiliation1.西南交通大学
2.中国科学院数学与系统科学研究院
3.西南民族大学
Recommended Citation
GB/T 7714
李亚静,朱宏泉,彭育威. 基于GARCH模型族的中国股市波动性预测[J]. 数学的实践与认识,2003,033(011):65.
APA 李亚静,朱宏泉,&彭育威.(2003).基于GARCH模型族的中国股市波动性预测.数学的实践与认识,033(011),65.
MLA 李亚静,et al."基于GARCH模型族的中国股市波动性预测".数学的实践与认识 033.011(2003):65.
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