| GARCH-M模型在股指预测中的应用 |
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| 引用本文： | 印凡成,王晶,茹正亮.GARCH-M模型在股指预测中的应用[J].贵州大学学报(自然科学版),2010,27(2):14-17. |
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| 作者姓名： | 印凡成 王晶 茹正亮 |
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| 作者单位： | 1. 河海大学理学院,南京,210098
2. 南京工程学院基础部,南京,211167 |
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| 摘 要： | 本文用GARCH-M模型模拟波动率的变化趋势,并进行预测,将所得结果带入Black-Scholes公式中,用蒙特卡罗模拟10000次,取其期望,得了较真实的股票指数。
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| 关 键 词： | GARCH-M模型 波动率 MC 期望 |
The Application of GARCH-M Model in Stock Index Prediction |
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| YING Fan-cheng,WANG Jing,RU Zheng-liang.The Application of GARCH-M Model in Stock Index Prediction[J].Journal of Guizhou University(Natural Science),2010,27(2):14-17. |
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| Authors: | YING Fan-cheng WANG Jing RU Zheng-liang |
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| Institution: | 1.Faculty of Science,Hohai University,Nanjing 210098,China;2.Department of Basic Courses of Nanjing Insitute of Technology,Nanjing 211167,China) |
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| Abstract: | The GARCH-M model was used to fit the trend of volatility rate,and make some prediction.The results gained will be brought into the Black-Scholes formula,with Monte Carlo simulation of 10,000 times,and making the expectations,has achieved the index which truly reflects the stock. |
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| Keywords: | MC |
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