| 上证指数收益率波动的实证分析——基于ARCH族模型 |
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| 引用本文： | 武倩雯.上证指数收益率波动的实证分析——基于ARCH族模型[J].重庆工商大学学报(自然科学版),2014(7):4-9. |
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| 作者姓名： | 武倩雯 |
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| 作者单位： | 安徽财经大学金融学院,安徽蚌埠233030 |
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| 摘 要： | 利用ARCH族模型对上证指数股票收益率进行定量与定性分析,表明上证指数日收益率存在高阶的ARCH效应,条件方差对日收益率有很强的影响,其中EGARCH模型在反映股市波动性方面优于其他模型.
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| 关 键 词： | 波动性 ARCH效应 ARCH族模型 日收益率 |
Empirical Analysis of Earnings Volatility of Shanghai Stock Index Based on ARCH-class Model |
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| WU Qian-wen.Empirical Analysis of Earnings Volatility of Shanghai Stock Index Based on ARCH-class Model[J].Journal of Chongqing Technology and Business University:Natural Science Edition,2014(7):4-9. |
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| Authors: | WU Qian-wen |
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| Institution: | WU Qian-wen (Finance School, Anhui University of Finance and Economics, Anhui Bengbu 233030, China) |
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| Abstract: | Quantitative analysis and qualitative analysis of stock earnings rate of Shanghai stock index are conducted based on ARCH-class model, which shows that there is a high-order ARCH effect of daily earnings rate of Shanghai stock index, that conditional variance has strong impact on the daily earnings rate and that EGARCH Model is better than other models in the study of stock market volatility. |
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| Keywords: | volatility ARCH effect ARCH -class Model daily earnings rate |
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