摘要
利用四种GARCH模型实证分析了上海股票市场的波动性,研究结果表明上海股市具有较为明显的ARCH效应,波动持续的时间较长,波动存在显著的非对称性,EGARCH模型对上海股市波动具有较好的拟合效果。
This paper adopts four kinds of GARCH models to analyze the fluctuation of Shanghai Stock Market. The study result shows that there are significant ARCH effects in Shanghai stock market, that the asymmetric fluctuation exists for a longer time, and that EGARCH model is effective in the simulation of the fluctuation of Shanghai stock market.
出处
《长春工程学院学报（社会科学版）》
2005年第4期22-25,共4页
Journal of Changchun Institute of Technology(Social Sciences Edition)
基金
金融市场波动与经济周期波动之间的作用机制和传导机制(项目编号:200415)
