摘要
通过4种GARCH模型与3种残差分布假定组合对上证综指实证建模,发现残差分布假定对模型的预测能力有影响,学生t分布能较好的拟合上证综指收益率序列.
The daily stock return of Shanghai Securities Market is conducted by GARCH models with residual distributions. The residual distributions are influential to the model forecast ability, the student distribution t can be in the good fitting to the series.
出处
《甘肃科学学报》
2008年第1期36-38,共3页
Journal of Gansu Sciences
基金
甘肃省教育厅科研项目(045B-01)
