首页 | 本学科首页   官方微博 | 高级检索  
     检索      

恒生指数的GARCH效应分析
引用本文:王娟,陶迎平.恒生指数的GARCH效应分析[J].内蒙古财经学院学报,2012(3):67-71.
作者姓名:王娟  陶迎平
作者单位:1. 安徽财经大学金融学院,安徽蚌埠,233030
2. 安徽财经大学统计与应用数学学院,安徽蚌埠,233030
摘    要:股票价格的波动是影响整个金融市场最重要、最直接的因素,对于以股票价格变化的研究来衡量风险价值具有很重要的现实意义。本文主要借助于恒生指数每日的收盘价进行GARCH效应分析并进行建模,通过设定残差分布的不同形式考察残差分布对建模的影响。最后,将GARCH模型拟合出来的方差的值带入风险价值量模型中,从而得到精确度更高的VAR值。

关 键 词:恒生指数  ARCH效应  GARCH效应

An Analysis of GARCH Effect of Heng Sheng Index
Wang Juan Tao Yingping.An Analysis of GARCH Effect of Heng Sheng Index[J].Journal of Inner Mongolia Finance and Economics College,2012(3):67-71.
Authors:Wang Juan Tao Yingping
Institution:Wang Juan Tao Yingping(Anhui University of Fiance and Economics,Bengbu,Anhui,2330300)
Abstract:The fluctuation of stock price is the most important and direct factor that influences the whole finance market.It is of important realistic significane to measure risk value with the study of stock price fluctuation.With the daily closing price of HIS,this papey analyzes GARCH effect and tris modeling.Through setting up different styles of residual distribution,this paper explores the effect of residual distribution on modelling.In the end,the variance outputted from GARCH model is brought into the risk value model so as to obtain more accurate VAR value.
Keywords:HIS  ARCH effect  GARCH effect
本文献已被 CNKI 维普 万方数据 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号