| 资本市场有效性假说与AR-X-GARCH模型的应用 |
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| 引用本文： | 彭作祥,庞皓.资本市场有效性假说与AR-X-GARCH模型的应用[J].西南师范大学学报(自然科学版),2002,27(3):303-308. |
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| 作者姓名： | 彭作祥 庞皓 |
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| 作者单位： | 1. 西南师范大学数学系,重庆,400715;西南财经大学统计系,四川,成都,610074
2. 西南财经大学统计系,四川,成都,610074 |
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| 摘 要： | 资本市场有效性假说的实证分析主要有随机游走检验，相关性检验和ARCH类模型检验，而ARCH类模型较好地揭示高频金融时间序列的条件方差时变性，波动集束和宽尾分布现象。使用AR－X－GARCH（1，1）模型分析深沪两市的弱式有效性，条件方差的特性及它们的交互影响。
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| 关 键 词： | 资本市场 AWR－X－GARCH模型 市场有效性假说 弱式有效性 条件方差 股票市场 外汇市场 |
| 文章编号： | 1000-5471(2002)03-0303-06 |
| 修稿时间： | 2001年11月16 |
Hypothesis of Financial Market Efficiency with Applications of AR-X-GARCH Models |
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| PENG Zuo xiang ,\ PANG\ Hao\ .Dept.of Mathematics,Southwest China Normal University,Chongqing ,China, .Dept.of Statistics,Southwest University of Finance and Economics,Chengdu Sichuan ,China.Hypothesis of Financial Market Efficiency with Applications of AR-X-GARCH Models[J].Journal of Southwest China Normal University(Natural Science),2002,27(3):303-308. |
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| Authors: | PENG Zuo xiang \ PANG\ Hao\ Deptof Mathematics Southwest China Normal University Chongqing China Deptof Statistics Southwest University of Finance and Economics Chengdu Sichuan China |
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| Institution: | PENG Zuo xiang 1,2,\ PANG\ Hao\+2 1.Dept.of Mathematics,Southwest China Normal University,Chongqing 400715,China, 2.Dept.of Statistics,Southwest University of Finance and Economics,Chengdu Sichuan 610074,China |
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| Abstract: | Empirical analysis of hypothesis of market efficiency always is tested by random walk, coefficiency and ARCH class models.ARCH class models can expose conditional time varying variance,clustering and fat tail of distribution of high frequency financial time series. The authors proposed AR X GARCH(1,1) model to analyse the weak efficiency hypothesis of stock markets of Shenzhen and Shanghai, properties of conditional variances and interaction of above stock markets. |
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| Keywords: | efficiency market hypothesis conditional variances financial market weak efficieniy |
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