| 深证100指数日收益率波动性的实证研究 |
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| 引用本文： | 杨树成. 深证100指数日收益率波动性的实证研究[J]. 渝西学院学报(自然科学版), 2006, 0(4) |
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| 作者姓名： | 杨树成 |
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| 作者单位： | 重庆文理学院数学与计算机科学系 重庆永川402160 |
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| 基金项目： | 重庆文理学院资助科研项目(编号:Y2005SJ41). |
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| 摘 要： | 实证研究表明,对深证100指数日收益率可以建立GARCH(1,1)模型,但不能建立TARCH模型、EARCH模型、Asymmetric Component ARCH模型,即深证100指数日收益率的杠杆效应不显著.换句话说,深证100指数日收益率波动行为具有ARCH效果,但不具有不对称性以及信息程度偏误等特性.
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| 关 键 词： | 深证100指数 自回归条件异方差 TARCH模型 |
An Empirical Research in the Fluctuation Characteristic of Shenzhen 100 Index Daily Income Rate |
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| YANG Shu-cheng. An Empirical Research in the Fluctuation Characteristic of Shenzhen 100 Index Daily Income Rate[J]. , 2006, 0(4) |
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| Authors: | YANG Shu-cheng |
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| Abstract: | The empirical research expresses that we can establish the GARCH(1,1)model,but can not establish TARCH model,EARCH model and Asymmetric Component ARCH model for the income of 100 index of the Shenzhen Stock Exchange Centre,namely lever effect of the income rate of 100 index of the Shenzhen Stock Exchange centre is not obvious.In other words,the fluctuation behavior of the 100 index of the Shenzhen Stock Exchange Center's daily income has GARCH effects,but not asymmetric reaction and news size bias effect. |
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| Keywords: | the 100 index of the Shenzhen Stock Exchange centre ARCH TARCH Model |
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