摘要
利用ARCH族模型对上证股票指数序列进行拟合和短期预测表明:上证股票指数序列存在ARCH效应,GARCH模型的预测效果要好于其他几种模型,但为了更好地模拟和预测数据,该模型还需考虑其他因素。
By using ARCH models to simulate the series of the shanghai stock index, and then making a short-term forecasting for the series, we can find that the series have ARCH effect and the forecasting outcome with GARCH model is better than other models. To simulate and predict index better, we should consider other factors.
出处
《经济与管理》
2009年第12期27-30,共4页
Economy and Management
关键词
ARCH族模型
上证指数
预测
the class of the ARCH model
shanghai stock index
forecasting
