ARMA-GARCH模型对上海铜期货市场收益率的建模与分析被引量：12

Modeling and Analysis of the Rate of Return in SHFE by ARMA-GARCH Model

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摘要本文首先对沪铜期货收益率序列的进行了分析,在单位根检验中克服了观察等价性的影响,并得到为该收益率服从ARIMA(0,1,1)-GARCH(1,1)模型。在此基础上,利用TARCH和EGARCH模型对收益率的杠杆效应进行了检验。 We analyze the rate of return in SHFE, and after overcoming the effect of observational equivalence, we obtain a ARIMA（0,1,1） model. Then we test the leverage effect by TARCH and EGARCH model.

作者萧楠

机构地区中国科学技术大学统计与金融系

出处《运筹与管理》 CSCD 2006年第5期128-132,共5页 Operations Research and Management Science

关键词金融学收益率建模 ARMA-GARCH模型铜期货 finance yield modeling ARMA-GARCH model copper futures

分类号 F830.9 [经济管理—金融学]

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参考文献14

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