基于CARR模型和GARCH模型的股市波动性预测研究

金融资产波动性建模和预测是金融理论与实践中的一个重要课题，已经有了许多建模与预测方法。本文利用我国股市的高频数据进行实证研究，分别运用CARP,模型和GARCH模型进行波动性预测，进而对两个模型的预测能力进行对比，结果表明：CARP,模型在波动性预测方面比GARCH模型的效果更好。

Study Forecast Study on Stock Market＇s Fluctuation Forecasting of the Stock Market --In the View of CARR and GARCH

Modeling and forecasting of financial assets has became an important problem in financial theory and practice. In this paper, we use high frequency data of stock market in China to research and CARR model and GARCH model to forecast the volatilities. The result shows that the CARR model is preferable to the GARCH model in the volatility forecasting.