摘要
研究上证指数收益率过程。以2004年9月30日至2011年9月30日期间的上证指数收盘价为基础,验证序列的相关性、稳定性及异方差性。建立ARMA-GARCH模型进行实证分析和预测,分别在误差服从正态分布、t分布、GED分布条件下比较拟合和预测效果。得到t分布的ARMA-GARCH模型最优,表明其更适合上证指数收益率的研究。
On the process of interest rate of Shanghai Stock Index,based on Shanghai composite index closing price from September 30,2004 to September 30,2011,the sequence correlation,stability and heteroscedasticity are verified,then established ARMA-GARCH model to do empirical analysis and forecasting.Under the condition that error obeys normal distribution,t distribution,GED distribution,fitting and prediction results are compared.Finally the ARMA-GARCH model of t distribution is optimal,which indicates that it is more suitable for the research on Shanghai stock index interest rate.
出处
《科学技术与工程》
北大核心
2012年第5期1219-1221,1226,共4页
Science Technology and Engineering
