| 基于ARMA-EGARCH-M模型的沪深股市波动性分析 |
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| 引用本文： | 何帮强,惠军.基于ARMA-EGARCH-M模型的沪深股市波动性分析[J].合肥工业大学学报(自然科学版),2007,30(7):864-868. |
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| 作者姓名： | 何帮强 惠军 |
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| 作者单位： | 合肥工业大学,理学院,安徽,合肥,230009 |
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| 摘 要： | 文章讨论了ARCH模型族的拟合波动性的优缺点,建立ARMA-EGARCH-M模型,简要说明了此模型的优点;以2000年1月11日-2006年3月15日上证综指和深证成指收盘价为样本,对我国沪深股市收益率分布用ARMA-EGARCH-M模型进行拟合分析,结果表明该模型能更有效地拟合我国沪深股市的波动性;最后解释实证结果和分析了我国股市的行为。
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| 关 键 词： | ARCH模型 GARCH模型 EGARCH模型 ARMA-EGARCH-M模型 异方差 |
| 文章编号： | 1003-5060(2007)07-0864-05 |
| 修稿时间： | 2006年7月3日 |
Analysis of the volatility of Shanghai and Shenzhen stock markets with the ARMA-EGARCH-M model |
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| HE Bang-qiang,HUI Jun.Analysis of the volatility of Shanghai and Shenzhen stock markets with the ARMA-EGARCH-M model[J].Journal of Hefei University of Technology(Natural Science),2007,30(7):864-868. |
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| Authors: | HE Bang-qiang HUI Jun |
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| Abstract: | In view of the advantage and drawback of the family of ARCH models in simulating the volatility of financial markets,the ARMA-EGARCH-M model is built and its advantage explained briefly.The samples of the close prices for the SSE composite index and the SZSE component index from Jan.11,2000 to Mar.15,2006 are taken to study the distribution of the rate of return in Shanghai and Shenzhen stock markets with the ARMA-EGARCH-M model.The concrete results are discussed and an analysis of the stock markets in China is made.The empirical study demonstrates that the model can successfully simulate the volatility of financial markets in China. |
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| Keywords: | ARCH model GARCH model EGARCH model ARMA-EGARCH-M model heteroscedasticity |
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