| 基于正态混合分布的上证指数波动性分析 |
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| 引用本文： | 徐光林. 基于正态混合分布的上证指数波动性分析[J]. 商业研究, 2006, 62(15): 45-47 |
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| 作者姓名： | 徐光林 |
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| 作者单位： | 上海财经大学,经济学院,上海,200433 |
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| 摘 要： | 近年来,越来越多的实证研究表明实测金融数据的尾部往往厚于正态分布的尾部,并不服从传统的正态分布假设。而正态混合分布能够具有厚尾、有偏、任意阶矩等良好性质。因此,只有用正态混合分布假设下的GARCH模型才可以较好地解释上证指数的波动性。
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| 关 键 词： | 厚尾性 正态混合 GARCH模型 波动性 |
| 文章编号： | 1001-148X（2006）15-0045-03 |
| 收稿时间： | 2005-10-14 |
| 修稿时间： | 2005-10-14 |
Analysis of Shanghai-securities Index Volatility Based on Mixed-normal Distribution |
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| XU Guang-lin. Analysis of Shanghai-securities Index Volatility Based on Mixed-normal Distribution[J]. Commercial Research, 2006, 62(15): 45-47 |
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| Authors: | XU Guang-lin |
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| Affiliation: | School of Economics, Shanghai University of Finance and Economics, Shanghai 200433, China |
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| Abstract: | More and more empirical analysises have shown the tail of financial data is fatter than the normal distribution without following the traditional normal distribution in recent years.However,the mixed normal distribution has the characteristics of fat-tail,bias and moments at large etc.GARCH model is used on the basis of the hypothesis of mixed normal distribution to analyze the Shanghai-securities index volatility. |
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| Keywords: | fat-tailed mixed normal GARCH model volatility |
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