摘要
通过对上海证券交易所国债市场指数收益率序列波动特征的研究发现,上交所国债市场指数收益率不但具有非正态性和条件异方差的特点,还具有长记忆性特征。实证研究表明,FIGARCH(1,d,1)模型能够较好地刻画上交所国债指数收益率波动的特征。
By the empirical analysis of the national debt market returns and volatilities in the Shanghai stock exchange, the return rates of national debt market price integrated index are found to be abnormal and with long memory properties. The empirical research also indicates that FIGARCH M （1, d, 1）model can portray the undulation characteristic of the return rates well.
出处
《财经理论与实践》
CSSCI
北大核心
2007年第1期60-62,共3页
The Theory and Practice of Finance and Economics
