摘要
ARCH族模型是动态非线性的股票定价模型,它在金融和经济领域具有广阔的应用前景.在短短二十年时间里取得了迅速的发展,先后提出了GARCH、ARCH-M、TARCH、EGRACH等模型丰富了ARCH族模型.本文从ARCH族模型出发,简要介绍了其主要形式和特点,然后将ARCH族模型运用于我国深圳股票市场的实证分析,从实证结果中总结深圳股市的总体特征.
ARCH model is a kind of dynamic non-linear time series model. It has widely used in the field of the finance and economic. In short the two decades,it has been developed very fast and came up with the other models like GARCH, ARCH-M,TARCH,and EGARCH. These models enrich the class of ARCH models. This paper start with the class of the ARCH models and simply introduces their main patter and character, then apply it on the shenzhen stock market and find the whole characeristics of the stock in the results.
出处
《数学理论与应用》
2006年第3期60-63,共4页
Mathematical Theory and Applications
