| 深证成指日收益率波动的实证研究 |
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| 引用本文： | 时晶晶,李汉东. 深证成指日收益率波动的实证研究[J]. 北京师范大学学报(自然科学版), 2006, 42(6): 646-648 |
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| 作者姓名： | 时晶晶 李汉东 |
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| 作者单位： | 北京师范大学管理学院系统科学系,100875,北京;北京师范大学管理学院系统科学系,100875,北京 |
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| 摘 要： | 应用GARCH模型对深证成指日收益率从1991年4月3日到2006年3月12日共3 695个数据进行了拟合,结果表明GARCH模型能够很好地拟合日收益率时间序列,拟合后残差序列的均值、标准差、偏度、峰度、J-B统计量等都有明显改善,同时也发现波动具有明显的持续效应.
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| 关 键 词： | 深证成指 波动性 GARCH模型 持续性 |
| 收稿时间： | 2006-06-30 |
| 修稿时间： | 2006-06-30 |
THE EMPIRICAL RESEARCH ON THE VOLATILITY OF THE DAILY BENEFIT OF INGREDIENT INDEXES OF SHENZHEN STOCK MARKET |
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| Shi Jingjing,Li Handong. THE EMPIRICAL RESEARCH ON THE VOLATILITY OF THE DAILY BENEFIT OF INGREDIENT INDEXES OF SHENZHEN STOCK MARKET[J]. Journal of Beijing Normal University(Natural Science), 2006, 42(6): 646-648 |
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| Authors: | Shi Jingjing Li Handong |
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| Affiliation: | Department of System Science, College of Management, Beijing Normal University, 100875, Beijing, China |
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| Abstract: | The GARCH models are adopted to forecast the variance of the daily benefit of ingredient indexes of Shenzhen stock market from April 3rd.1991 to March 12th.2006.The results obtained show that the GARCH model is a better model for time series of the daily benefit.The standard deviation,skewness,kurtosis and Jarque-Bera etc.of the residuals are improved a lot.The results also show that the persistence in volatility is evident. |
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| Keywords: | ingredient indexes of Shenzhen stock market volatility GARCH model persistence |
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