| 沪市股票风险与收益关系实证研究 |
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| 引用本文： | 尹清非 仇媛媛. 沪市股票风险与收益关系实证研究[J]. 数学理论与应用, 2007, 27(2): 11-14 |
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| 作者姓名： | 尹清非 仇媛媛 |
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| 作者单位： | 中南大学数学科学与计算技术学院 长沙410075 |
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| 摘 要： | 由于我国股票市场每日报酬时间序列的非正态性和厚尾性,且呈现波动集群性,基于正态假设的静态模型存在很大的缺陷,而Arch类模型具有很好的处理厚尾的能力,能较好的描述股价等金融变量的波动特征,因此将Garch-M模型引入,通过实证分析,结果表明,Garch-M模型能显著提高预测的准确性.
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| 关 键 词： | 条件异方差性 Garch-M模型 Arch效应 TARCH模型 |
| 修稿时间： | 2006-11-05 |
The Research On the Relationship of the Rish and Benefit of Shanghai Stock Market |
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| Yin Qingfei, Qiu Yuanyuan. The Research On the Relationship of the Rish and Benefit of Shanghai Stock Market[J]. Mathematical Theory and Applications, 2007, 27(2): 11-14 |
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| Authors: | Yin Qingfei Qiu Yuanyuan |
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| Affiliation: | Mathematics Department, Centre South University, Changsha, 410075 |
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| Abstract: | For the non-normal characteristic and heavy-tailed distribution in China's stock market,there are defects in using the model based on normal assumption.Arch model can deal with heavy-tailed distribution and describe the fluctuation of stock price well.This paper carries out Garch-M model,and the result show that the Garch-M model improves the prediction precision. |
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| Keywords: | Different variance Garch-M model Arch effect TARCH model |
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