| 沪市股票价格指数的GARCH模型 |
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| 引用本文： | 杨柳.沪市股票价格指数的GARCH模型[J].数学理论与应用,2009(3):40-43. |
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| 作者姓名： | 杨柳 |
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| 作者单位： | 中南大学数学系,长沙410075 |
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| 摘 要： | 首先用OLS法对沪市股票价格指数建模，对统计量进行分析发现该模型的误差项具有条件异方差性，因此采用GARCH方法拟合并检验，结果表明GARCH（1，1）拟合的很好。
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| 关 键 词： | 沪市股票价格指数 异方差性 GARCH |
The GARCH Model of the Index of Shanghai Stock |
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| Yang Liu.The GARCH Model of the Index of Shanghai Stock[J].Mathematical Theory and Applications,2009(3):40-43. |
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| Authors: | Yang Liu |
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| Institution: | Yang Liu ( Department of Mathematics, Central South University, Changsha, 410075 ) |
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| Abstract: | We propose a normative analysis method on OLS effect of the index of Shanghai stock, which indicates that the residual has heteroscedasticity. So, we apply GARCh on the series, the statistics show this model performs very well. |
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| Keywords: | The index of Shanghai stock Heteroscedasticity GARCH |
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