| 基于ARCH类模型对沪市波动性的实证研究 |
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| 引用本文： | 周伟.基于ARCH类模型对沪市波动性的实证研究[J].科技信息,2012(3):245-246. |
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| 作者姓名： | 周伟 |
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| 作者单位： | 淮北师范大学数学科学学院,安徽淮北235000 |
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| 摘 要： | 在对股票市场的研究中，波动性一直是比较重要的一方面，利用ARCH类模型对上证综指日收益率进行分析，得出上证综指具有集聚性和长期记忆性。
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| 关 键 词： | 上证综指 ARCH模型 GARCH模型 TARCH模型 长期记忆性 |
Based on the Empirical of the ARCH Model on the Volatility of Shanghai Stock Market |
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| ZHOU Wei.Based on the Empirical of the ARCH Model on the Volatility of Shanghai Stock Market[J].Science,2012(3):245-246. |
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| Authors: | ZHOU Wei |
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| Institution: | ZHOU Wei (School of Mathematical Science, Huaibei Normal University, Huaibei Anhui, 235000 ) |
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| Abstract: | Volatility is always an important aspect to the studying of stock market, using ARCH model to analyze the SSE Composite index on yield, we can obtain that the SSE Composite has the convergence and long term memory. |
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| Keywords: | SSE composite index ARCH model GARCH model TARCH model Long term memory |
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