| SV族模型对沪市综合指数的实证分析 |
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| 引用本文： | 吴萌,徐全智.SV族模型对沪市综合指数的实证分析[J].成都大学学报(自然科学版),2005,24(1):47-49,54. |
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| 作者姓名： | 吴萌 徐全智 |
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| 作者单位： | 电子科技大学,应用数学学院,成都,610054;电子科技大学,应用数学学院,成都,610054 |
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| 摘 要： | 选取沪市股价综合日指数(1997/01/02～2003/12/26)作为样本,对上证综合指数进行了实证分析,根据有效市场理论,利用股指的随机游走过程对上海股市的有效性进行检验,建立SV族模型验证上海股市的可预测性实证结果发现:上海股市具有杠杆效应、长记忆性和波动持续性
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| 关 键 词： | SV模型 杠杆效应 长记忆性 上证综合指数 |
| 文章编号： | 1004-5422(2005)01-0047-03 |
An Empirical Study of the Stock Composite by Using SV Modes |
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| WU Meng,XU Quanzhi.An Empirical Study of the Stock Composite by Using SV Modes[J].Journal of Chengdu University (Natural Science),2005,24(1):47-49,54. |
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| Authors: | WU Meng XU Quanzhi |
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| Abstract: | We choose the daily composite index of stock price in Shanghai as the example, and analyze the stock fluctuate by econometric method. According to the effective market theory, we do inspection on the stock prices by the course that leaves in the trip immediately, and make SV models to inspect the estimations. we find that the stock market in Shanghai has the qualifications of leverage, long memory, and lasting fluctuation. |
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| Keywords: | SV modes the stock composite leverage effect long memory |
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