| 基于GARCH模型的股市流动性风险研究 |
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| 引用本文： | 程淑芳. 基于GARCH模型的股市流动性风险研究[J]. 中国西部科技, 2014, 0(4): 76-77 |
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| 作者姓名： | 程淑芳 |
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| 作者单位： | 中南财经政法大学武汉学院,湖北武汉430070 |
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| 摘 要： | 在GARCH族模型进行简单介绍的基础上,通过对中国上证综合指数及深证成分指数进行了实证分析,利用GARCH族模型对市场流动性风险进行分析,据此得出了相关结论和建议。
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| 关 键 词： | GARCH族 流动性风险 股市 |
Measurement of Liquidity Risk of Stock Market Base on GARCH Model |
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| CHENG Shu-fang. Measurement of Liquidity Risk of Stock Market Base on GARCH Model[J]. Science and Technology of West China, 2014, 0(4): 76-77 |
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| Authors: | CHENG Shu-fang |
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| Affiliation: | CHENG Shu-fang(Wuhan college of Zhongnan University of Economics and Law,Wuhan,Hubei 430070,China) |
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| Abstract: | After a brief introduction to the theory of GARCH, the empirical analyses were conducted on the Shanghai synthesis index and Shenzhen composite index. The GARCH Family was applied on analyses of Liquidity Risk. Finally, some conclusions and suggestions were put forward. |
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| Keywords: | GARCH Model Liquidity Risk Stock Market |
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