| 基于GARCH模型的股票买卖时机分析 |
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| 引用本文： | 严定琪,杨栓军,曾海丽.基于GARCH模型的股票买卖时机分析[J].兰州理工大学学报,2007,33(5):158-161. |
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| 作者姓名： | 严定琪 杨栓军 曾海丽 |
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| 作者单位： | 兰州大学,数学与统计学院,甘肃,兰州,730000 |
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| 摘 要： | 通过对股票收盘价格的历史数据进行处理分析,建立GARCH模型,此模型较好的描述股票价格的条件异方差性,同时用此方法对股票价格进行拟合和预测,利用预测数据分析股票较好的买卖时机.
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| 关 键 词： | 自回归 条件异方差 GARCH模型 残差 |
| 文章编号： | 1673-5196（2007）05-0158-04 |
| 修稿时间： | 2006-10-23 |
Analysis of stock trading opportunity base on GARCH model |
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| YAN Ding-qi,YANG Shuan-jun,ZENG Hai-li.Analysis of stock trading opportunity base on GARCH model[J].Journal of Lanzhou University of Technology,2007,33(5):158-161. |
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| Authors: | YAN Ding-qi YANG Shuan-jun ZENG Hai-li |
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| Institution: | Dept. of Mathematics and Statistics, Lanzhou University, Lanzhou 730000, China |
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| Abstract: | On the basis of processing and analysis of the historical data of the stock closing prices,a GARCH model was build up.This model could better describe the conditional heteroscedasticity of the stock prices,and it was used to fit and forecast the prices of the stock.The preferable trading opportunity of the stock was analyzed by using the forecast data. |
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| Keywords: | autoregressive conditional heteroscedasticity GARCH model residual |
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