| 基于ARMA-GARCH模型的上证指数实证分析 |
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| 引用本文： | 王博.基于ARMA-GARCH模型的上证指数实证分析[J].科学技术与工程,2012,12(5):1219-1221,1226. |
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| 作者姓名： | 王博 |
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| 作者单位： | 暨南大学经济学院统计系 |
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| 摘 要： | 研究上证指数收益率过程。本文以2004年9月30日至2011年9月30日期间的上证指数收盘价为基础，验证序列的相关性、稳定性及异方差性，建立ARMA-GARCH模型进行实证分析和预测，分别在误差服从正态分布、t分布、GED分布条件下比较拟合和预测效果，得到t分布的ARMA-GARCH模型最优，表明其更适合上证指数收益率的研究。
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| 关 键 词： | 收益率 ARMA-GARCH模型 实证分析 预测 |
| 收稿时间： | 2011/11/22 0:00:00 |
| 修稿时间： | 2011/11/29 0:00:00 |
Empirical analysis for the Shanghai Composite Index based on ARMA-GARCH model |
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| wangbo.Empirical analysis for the Shanghai Composite Index based on ARMA-GARCH model[J].Science Technology and Engineering,2012,12(5):1219-1221,1226. |
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| Authors: | wangbo |
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| Institution: | WANG Bo(Statistics Department,Economics Institute,Guangzhou 510632,P.R.China) |
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| Abstract: | On the process of interest rate of Shanghai Stock Index,based on Shanghai composite index closing price from September 30,2004 to September 30,2011,the sequence correlation,stability and heteroscedasticity are verified,then established ARMA-GARCH model to do empirical analysis and forecasting.Under the condition that error obeys normal distribution,t distribution,GED distribution,fitting and prediction results are compared.Finally the ARMA-GARCH model of t distribution is optimal,which indicates that it is more suitable for the research on Shanghai stock index interest rate. |
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| Keywords: | interest rate ARMA-GARCH model empirical analysis forecast |
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