| 交易量与股价波动性动态关系的研究 |
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| 引用本文： | 王艺霖,周渊.交易量与股价波动性动态关系的研究[J].复旦学报(自然科学版),2012,51(4):472-479. |
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| 作者姓名： | 王艺霖 周渊 |
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| 作者单位： | 复旦大学数学科学学院,上海,200433 |
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| 基金项目： | 国家自然科学基金资助项目 |
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| 摘 要： | 交易量与股价变化的关系是金融市场研究的重要课题之一.VGARCH模型是在传统的GARCH模型中加入交易量得到的衍生模型.通过对上证指数波动性预测的实证分析得出:VGARCH模型能更准确地预测股票指数的波动性.进一步指出,相比于交易量,其波动率能更好地度量每日信息到达量.
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| 关 键 词： | VGARCH模型 股价波动性 交易量 |
Research of the Dynamic Relationship between Trading Volume and Stock Price Volatility |
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| WANG Yi-lin,ZHOU Yuan.Research of the Dynamic Relationship between Trading Volume and Stock Price Volatility[J].Journal of Fudan University(Natural Science),2012,51(4):472-479. |
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| Authors: | WANG Yi-lin ZHOU Yuan |
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| Institution: | (School of Mathematical Sciences,Fudan University,Shanghai 200433,China) |
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| Abstract: | The relationship between trading volume and stock price volatility is an important topic in the study of financial market.VGARCH model was proposed by adding trading volume into GARCH model.Empirical analysis was given on forecasting SSE Composite Index volatility.The results indicate that VGARCH is more accurate than GARCH.It further shows that the volatility of trading volume is a better measure of daily arrival of information than trading volume. |
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| Keywords: | VGARCH model price volatility trading volume |
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