| 基于GARCH族模型对中国股市波动的分析与预测 |
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| 引用本文： | 王蒋凤,吴群英.基于GARCH族模型对中国股市波动的分析与预测[J].经济研究导刊,2011(34):74-77,234. |
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| 作者姓名： | 王蒋凤 吴群英 |
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| 作者单位： | 桂林理工大学理学院,广西桂林,541004 |
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| 摘 要： | 运用GARCH类模型对沪深300指数序列的波动性、收益率进行了实证研究,并且对序列做了拟合与预测,获得了不错的效果。除此,还证实了中国股市存在着显著的非对称效应。
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| 关 键 词： | GARCH模型 波动性 收益率 分析 预测 |
Analysis and Forecasting on the Stock Market's Volatility in Our Country Based on GARCH Models |
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| WANG Jiang-feng,WU Qun-ying.Analysis and Forecasting on the Stock Market's Volatility in Our Country Based on GARCH Models[J].Economic Research Guide,2011(34):74-77,234. |
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| Authors: | WANG Jiang-feng WU Qun-ying |
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| Institution: | WANG Jiang-feng,WU Qun-ying(Guilin University of Technology,Department of Science,Guilin 541004,China) |
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| Abstract: | In this paper,GARCH models are used to study the volatility and yield of Shanghai Shenzhen 300 Index,and the time sequence of Shanghai Shenzhen 300 Index is fitted and forecasted,some good effects have obtained.Besides,the Chinese stock market has significant asymmetric effects,which also could be proved in the paper. |
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| Keywords: | GARCH models volatility yield analysis forecasting |
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