| 一个包含异质信念的GARCH模型 |
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| 引用本文： | 赵国庆,尹慧.一个包含异质信念的GARCH模型[J].商业经济与管理,2011,1(6):89-94. |
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| 作者姓名： | 赵国庆 尹慧 |
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| 作者单位： | 1. 中国人民大学经济学院2. |
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| 基金项目： | 中国人民大学"985"工程"中国经济研究哲学社会科学创新基地"项目 |
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| 摘 要： | 文章利用信息交易量得到投资者异质信念的代理变量，给出一个包含投资者异质信念的GARCH（1,1）模型。该模型的估计结果表明，上海证券市场与纽约证券市场上都存在明显的投资者异质信念现象，且异质信念显著放大了中、美证券市场上的投资风险。
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| 关 键 词： | 信息交易量 异质信念 GARCH（1 1）模型 |
| 收稿时间： | 2011-03-09 |
A GARCH Model with Disagreement |
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| ZHAO Guo-qing,YIN Hui.A GARCH Model with Disagreement[J].Business Economics and Administration,2011,1(6):89-94. |
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| Authors: | ZHAO Guo-qing YIN Hui |
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| Institution: | ZHAO Guo-qing,YIN Hui(School of Economics,Renmin University of China,Beijing 100872,China) |
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| Abstract: | This paper applies information trade volume to obtaining a proxy variable for measuring investors' disagreement,which is further modeled by giving a GARCH(1,1) process with disagreement.Empirical results show that there are obvious disagreements in both Shanghai and New York stock market,and the disagreements have significantly enlarged investment risks in Chinese and American markets. |
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| Keywords: | information trade volume disagreement GARCH(1 1) |
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