| 中国股市收益分形分布的实证研究 |
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| 引用本文： | 黄诒蓉. 中国股市收益分形分布的实证研究[J]. 南方经济, 2006, 0(2): 99-106 |
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| 作者姓名： | 黄诒蓉 |
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| 作者单位： | 中山大学管理学院,广州,510275 |
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| 摘 要： | 近年来，分形分布在金融市场中的研究和应用逐渐引起研究者的浓厚兴趣。本文借助分形分布理论对中国股票市场的收益分布特性进行了实证研究，估计出了分形分布的参数，绘制了分形分布的密度曲线，并对其进行了拟合检验。实证结果表明，分形分布能较好地拟合中国股票市场的收益序列。
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| 关 键 词： | 股票收益 分形分布 特征指数 |
| 文章编号： | 1000-6249（2006）02-0009-008 |
ARFIMA-FIGARCH Model of Return and Volatility Processes in Chinese Stock Market |
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| Yirong Huang. ARFIMA-FIGARCH Model of Return and Volatility Processes in Chinese Stock Market[J]. South China journal of Economy, 2006, 0(2): 99-106 |
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| Authors: | Yirong Huang |
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| Affiliation: | Yirong Huang |
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| Abstract: | This paper simultaneously captures double long memory properties of return process and volatility process in Chinese stock market by employing ARFIMA-FIGARCH model. The results on Shenzhen stock market show that there is no long memory on Shenzhen daily return, while there is strong long memory for volatility on Shenzhen daily return. According to Akaike?Schwarz?Shibata and Hannan-Quinn criterions, ARFIMA(0,m,1). FIGARCH(1,d,0) model is the most appropriate to simulating Shenzhen daily return. |
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| Keywords: | Volatility Double Long-Memory ARFIMA-FIGARCH Model |
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