| 金融时间序列中加性异常值的鉴别与校正 |
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| 引用本文： | 张学功. 金融时间序列中加性异常值的鉴别与校正[J]. 价值工程, 2009, 28(2): 4-7 |
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| 作者姓名： | 张学功 |
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| 作者单位： | 华中科技大学经济学院,武汉,430074 |
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| 基金项目： | 国家自然科学基金，人才引进基金 |
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| 摘 要： | 借鉴Franses and Ghijsel[1](1999)和Charles and Darne[2](2005)提出的鉴别和校正金融序列加性异常值的方法,以GARCH模型为例,对我国的上证综合指数和深圳成分指数进行了加性异常值的鉴定与校正,并对校正后的残差进行了正态检验。结果表明该方法效果显著,进行异常值校正后的GARCH(1,1),更好地拟合金融时间序列中的尖峰厚尾和波动丛聚性的特性,纠正了正态分布的GARCH(1,1)对时间序列拟合的偏误。
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| 关 键 词： | 金融时间序列 加性异常值(AO) 鉴别与校正 GAKCH(1,1)模型 |
Identification and Adjustment of Additive Outerliers in Financial Time Series |
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| Zhang Xuegong. Identification and Adjustment of Additive Outerliers in Financial Time Series[J]. Value Engineering, 2009, 28(2): 4-7 |
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| Authors: | Zhang Xuegong |
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| Affiliation: | School of Economics;Huazhong University of Science and Technology;Wuhan 430074;China |
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| Abstract: | Method of Additive Outerliers Identification procedure developed by Franses and Ghijsels(1999) and Charles and Darne(2005) is used in estimation of a GARCH(1,1) model.SSE composite index and SZSE component index are used to fit the model and error s of the model are tested by JB statistics The result shows the procedure is effective,after AOs(Additive Outerliers) adjustment,GARCH(1,1) model can fit excess kurtosis and volatility clustering of financial time very well,adjusts the bias of a GARCH(1,1) model t... |
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| Keywords: | financial times series Additive Outerliers（AO） identification and adjustmet GARCH （1,1） model |
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