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沪市股票价格指数波动的分析 被引量:2

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摘要 本文简略的介绍了三种GARCH模型思想,并用所介绍的模型对我国上海股票市场的GARCH效应进行了实证研究。结果表明我国上海股票市场收益率序列的波动具有显著的异方差性,股价波动存在集群性和持续性,可以用GARCH类模型进行拟合。
机构地区 华侨大学商学院
出处 《市场周刊》 2007年第6期110-111,109,共3页 Market Weekly
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