摘要
在三种GARCH模型下,本文分析比较了上证综指在服从正态分布,分布和GED分布下的Va R值。分析显示,GED分布情形下可以较为准确地刻画股市收益率的尖峰厚尾现象,EGARCH和PGARCH模型能够更好地刻画股票的波动规律。
The paper analyzes and compares the Va R value of Shanghai Stock Market composite indices under three different distributions, i.e., normal distribution, t-distribution and GED distribution using three GARPH models. The analysis shows that GED distribution can be more accurate in describing the fat-tailedness of the yield rate and the EGARCH and PGARCH models can better describe the fluctuations of the stock.
出处
《宁波工程学院学报》
2016年第2期9-13,共5页
Journal of Ningbo University of Technology
基金
浙江省自然科学基金(LQ16A010006)
宁波市自然科学基金(2015A610158)
国家级大学生创新创业项目(201511058007)
宁波工程学院学生科研项目(2015049)
