| 上海证券市场回报率分析——基于ARIMA模型和GARCH模型 |
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| 引用本文： | 赵梅春.上海证券市场回报率分析——基于ARIMA模型和GARCH模型[J].数学理论与应用,2008,28(2):1-4. |
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| 作者姓名： | 赵梅春 |
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| 作者单位： | 广东金融学院数学系 广州市，510521 |
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| 基金项目： | 广东金融学院院级课题（06xj03-01） |
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| 摘 要： | 本文分析中国上海证券市场回报率。分别通过APdMA模型和GARCH模型，发现若用APdMA模型分析和建立时间序列模型，一次自回归项是不够的，需要高次项，在大多数情形，若运用GARCH模型，则GARCH（1，1）就能够很好的拟合数据。
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| 关 键 词： | 证券市场回报率 ARIMA模型 GARCH模型 上海 |
Shanghai Stock Market Return Analysis Based ARIMA model and GARCH Model |
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| Zhao Meichun.Shanghai Stock Market Return Analysis Based ARIMA model and GARCH Model[J].Mathematical Theory and Applications,2008,28(2):1-4. |
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| Authors: | Zhao Meichun |
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| Institution: | Zhao Meichun (Department of Applied Mathematics in Guangdong University of finance, Guangzhou,510521 ) |
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| Abstract: | In this paper,relative returns of selected stocks at Chinese Shanghai Stock Exchange has been performed.Box-Jenkins ARIMA models have been employed for return time series modelling.We find Instead of autoregressie terms of first order,higher terms are also necessary.In most cases,GARCH (1,1) is quite satisfactory. |
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| Keywords: | Stock Market Returns ARIMA Models GARCH Models |
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