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GARCH模型和SV模型对深圳股市的比较
引用本文:王宇新.GARCH模型和SV模型对深圳股市的比较[J].合肥工业大学学报(自然科学版),2007,30(6):743-745.
作者姓名:王宇新
作者单位:合肥工业大学,人文经济学院,安徽,合肥,230009
摘    要:文章采用GARCH模型和SV模型对深圳股市进行了实证分析;结果表明,基本SV模型较GARCH(1,1)模型能更好地拟合实际金融时间序列数据;从总体上来说,基本SV模型的预测效果优于GARCH(1,1)模型。

关 键 词:GARCH模型  SV模型  波动预测
文章编号:1003-5060(2007)06-0743-03
修稿时间:2006年6月9日

Comparative research on the Shenzhen stock market by using the GARCH model and the SV model
WANG Yu-xin.Comparative research on the Shenzhen stock market by using the GARCH model and the SV model[J].Journal of Hefei University of Technology(Natural Science),2007,30(6):743-745.
Authors:WANG Yu-xin
Abstract:An empirical analysis of the Shenzhen stock market is made by using the GARCH model and the SV model.The results indicate that the basic SV model is superior to the GARCH(1,1) model in fitting the real financial time series and it also provides superior forecast of weekly volatility in comparison with the GARCH(1,1) model.
Keywords:Generalized Auto-Regression Conditional Heteroskedacity(GARCH) model  stochastic volatility(SV) model  volatility forecast
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