| ARCH族模型对沪市综合指数的实证分析 |
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| 引用本文： | 李丽莎,于姝. ARCH族模型对沪市综合指数的实证分析[J]. 中央民族大学学报(自然科学版), 2004, 13(4): 352-356 |
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| 作者姓名： | 李丽莎 于姝 |
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| 作者单位： | 中央财经大学,信息管理系,北京,100081 |
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| 摘 要： | 本文选取沪市股价综合日指数(1999/01/01～2002/12/30)作为样本,根据有效市场理论,利用股指的随机游走过程对上海股市的有效性进行检验,建立ARCH模型验证上海股市的可预测性.实证结果发现,上海股市具有杠杆效应、波动集群性和波动持续性.
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| 关 键 词： | ARCH模型 综合指数 杠杆效应 |
| 文章编号： | 1005-8036(2004)04-0352-05 |
| 修稿时间： | 2004-04-20 |
An Empirical Study of the Stock Composite by Using ARCH Model |
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| LI Li-sha,YU Shu. An Empirical Study of the Stock Composite by Using ARCH Model[J]. Journal of The Central University for Nationalities(Natural Sciences Edition), 2004, 13(4): 352-356 |
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| Authors: | LI Li-sha YU Shu |
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| Abstract: | We chose the daily composite index of stock prices in Shanghai as the sample, and analyze the stock fluctuate by econometric method. According to the effective market theory, we do inspection on the stock prices by the course that leaves in the trip immediately, and make ARCH model to inspect the estimations. We find that the stock market in Shanghai has the qualifications of leverage, volatility concentration, and lasting fluctuation. |
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| Keywords: | ARCH model the stock composite leverage effect |
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