| 基于GARCH族模型的股价波动性分析 |
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| 引用本文： | 陈进,晋宗义,郑涛. 基于GARCH族模型的股价波动性分析[J]. 价值工程, 2009, 28(12): 163-165. DOI: 10.3969/j.issn.1006-4311.2009.12.052 |
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| 作者姓名： | 陈进 晋宗义 郑涛 |
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| 作者单位： | 安徽财经大学,蚌埠233041 |
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| 摘 要： | 运用GARCH族模型对上证综指进行建模研究,结果表明:上证股市收益率序列不服从正态分布,有"尖峰厚尾"特征;存在一定的杠杆效应,即利空消息比等量利好消息带来冲击更大;股市受外部影响时间较长,短期内难以消除。
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| 关 键 词： | 股价波动性 GARCH族模型 ARCH效应 杠杆效应 |
To Analyse on the Fluctuating of Stocks Price Based on GARCH Model Families |
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| Chen Jin,Jin Zongyi,Zheng Tao. To Analyse on the Fluctuating of Stocks Price Based on GARCH Model Families[J]. Value Engineering, 2009, 28(12): 163-165. DOI: 10.3969/j.issn.1006-4311.2009.12.052 |
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| Authors: | Chen Jin Jin Zongyi Zheng Tao |
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| Affiliation: | (Anhui University of Finance anti Economics, Bengbu 233041, China) |
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| Abstract: | This paper mainly introduces GARCH model families to study the SSE Composite Index.By studying we can get the conclusion as following： the rate of return in shanghai stock market is nut subject to normal distribution ,but has a characteristic of ＂ fat-tail peak＂ ;There is a leverage effect,that the bad news than good news bring the greater impact;It is difficult to eliminate the external impacts which affect the stock market in a long time. |
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| Keywords: | stocks price fluctuation GARCH model families ARCH effects leverage effect |
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