摘要
利用GARCH族模型探究纳斯达克指数波动率动态变化特征及最优数学模型,先通过统计软件EViews8.0对1009个纳斯达克指数数据做对数差分得到近四年日收益率序列,检验时间序列是否具有ARCH效应,结果表明:收益率序列不存在自相关性,波动率具有明显的自相关,适合用GARCH族模型建模。
This paper uses the GARCH family model to explore the dynamic change characteristics of the Nasdaq index volatility and the optimal mathematical model.First,it uses the statistical software EViews8.0 to perform the logarithmic difference on the data of 1009 Nasdaq indices to obtain the daily return series of the past four years,and test whether the time series has ARCH effect.The results show that there is no autocorrelation in the return rate series,and the volatility has obvious autocorrelation,which is suitable for modeling with GARCH family models.
作者
汪强
WANG Qiang(Anhui University of Finance&Economics,Bengbu 233000,China)
出处
《价值工程》
2020年第36期229-231,共3页
Value Engineering