| ARIMA模型与ARCH模型在香港股指预测方面的应用比较 |
| |
| 引用本文： | 万建强,文洲.ARIMA模型与ARCH模型在香港股指预测方面的应用比较[J].数理统计与管理,2001,20(6):1-4. |
| |
| 作者姓名： | 万建强 文洲 |
| |
| 作者单位： | 南京大学国际商学院 |
| |
| 摘 要： | 由于香港金融市场易受政治或投机等因素的影响而使股价波动呈现出不确定性 ,而ARCH模型又善于描述这种不确定性 ,因而本文试图将ARCH模型和ARIMA模型在香港股指预测方面的应用进行对比 ,以期为投资者选择模型进行预测时提供参考
|
| 关 键 词： | ARIMA模型 ARCH模型 股价指数波动 |
| 文章编号： | 1002-1566(2001)06-0001-04 |
| 修稿时间： | 2000年10月26 |
The comparison of ARIMA model and ARCH model application in HongKong stock price index prediction |
| |
| WAN Jian qiang,WEN Zhou.The comparison of ARIMA model and ARCH model application in HongKong stock price index prediction[J].Application of Statistics and Management,2001,20(6):1-4. |
| |
| Authors: | WAN Jian qiang WEN Zhou |
| |
| Abstract: | Because Hongkong financial market is vulnerable to political or speculative factors and this makes the Stock price show some instability and the ARCH model is good at dealing with this instability. So this paper want to compare ARCH with ARIMA in their application in the stock price prediction in order to bring some reference for investors when they need to select models. |
| |
| Keywords: | ARIMA model ARCH model stock price fluctuation |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
