| GARCH模型估计方法选择及对上证指数的应用 |
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| 引用本文： | 黄达,王汉生.GARCH模型估计方法选择及对上证指数的应用[J].数理统计与管理,2010,29(3). |
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| 作者姓名： | 黄达 王汉生 |
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| 作者单位： | 北京大学光华管理学院,北京,100871 |
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| 基金项目： | 国家自然科学基金资助,项目批准编号10771006 |
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| 摘 要： | 本文介绍了对ARCH/GARCH模型的两种估计方法:准极大似然估计和极小绝对偏差估计,并提出了一种基于自助法(Bootstrap)对估计方法的选择。在厚尾程度不同的情况下进行了模拟分析,表明对于一个具体的数据,该选择法能够自动选择较优的估计方法。并用该方法对上海证券交易所A股和B股的股价指数进行了分析,印证了上海股市B股收益率的尾部厚于A股收益率尾部。
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| 关 键 词： | 广义自回归条件异方差模型 准极大似然估计 极小绝对偏差估计 厚尾 自助法 估计方法选择 |
Estimation Selection of GARCH Model and Application on Shanghai Stock Price Index |
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| HUANG Da,WANG Han-sheng.Estimation Selection of GARCH Model and Application on Shanghai Stock Price Index[J].Application of Statistics and Management,2010,29(3). |
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| Authors: | HUANG Da WANG Han-sheng |
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| Institution: | HUANG Da WANG Han-sheng (Guanghua School of Management,Peking University,Beijing 100871,China) |
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| Abstract: | In this paper,we introduce two estimations on GARCH model:one is Quasi-Maximum Likelihood Estimation(QMLE),the other is the Least Absolute Deviation Estimator(LADE).We also suggest an estimation selection method based on bootstrap strategy.We present the effect of this selection method by models with tails of different heaviness and show the method's power in selecting a better estimation.We also implement our methods on the real data of Shanghai Stock Price Index,and confirm that the yield's volatility of ... |
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| Keywords: | GARCH quasi-maximum likelihood estimation least absolute deviation estimator heavy tail bootstrap estimation selection |
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