摘要
股指的波动具有持续性、集聚性 ,如何进行判别 ?本文用 Garch模型理论探讨沪深股指的这种条件异方差特征 ,进一步分析波动是否影响股指未来变化 ,以及股市对利好、利空的消息是否存在不对称的反映。同时 ,比较不同类型的股指的共性及差异 ,并对上述现象作了解释和说明。
There are clusting and persistence about the fluctuation of stock index. How to distinguish it? The paper analyses the Conditional Heteroskedastic of hu shen stock indexes by the method Garch model, further discusses whether the fluctuation affects change of stock index, whether good news & bad news has the influence of unsymmetry, at same time compares with common and difference to different kinds of stock indexes, finally gives explaination.
出处
《经济数学》
2002年第2期37-43,共7页
Journal of Quantitative Economics
关键词
股指波动
条件异方差
GARCH
模型
fluctuation of stock index, conditional heteroskedastic, Garch model
