摘要
在经济和金融研究中,波动性一直是一个非常重要的方面,中国股票市场建立至今,股市大起大落成为一种常态。本文建立了上证综合指数波动的GARCH模型,从实证角度说明了上证综合指数波动存在着波动集簇性,而GARCH模型可以很好的拟合股指波动情况,同时对股指收益率也能进行较好的预测,最后根据结论提出了一些对策建议。
The volatility has been a very important aspect in the economic and financial studies.h has been ups and downs violently since that the Chinese stock established. This paper set up GARCH model of the Shangzheng synthesis index. The paper proved that the volatility- clustering was existing in the Shanghai＇ s stock market and it indicated that index return can be predicted better by using GARCH model.
出处
《价值工程》
2010年第26期50-52,共3页
Value Engineering
关键词
上证指数
条件异方差
GARCH模型
Shangzheng synthesis index
conditional heteroskedastic
GARCH model
