| 基于不同分布假设GARCH模型对上证指数波动性预测能力的比较研究 |
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| 引用本文： | 郑周. 基于不同分布假设GARCH模型对上证指数波动性预测能力的比较研究[J]. 价值工程, 2004, 23(3): 70-72 |
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| 作者姓名： | 郑周 |
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| 作者单位： | 中国科学技术大学商学院 合肥230026 |
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| 摘 要： | 本文在四种不同的分布假设(Normal,Student-t,GED和SkewedStudent-t)下,对上证指数波动性进行了GARCH(1,1)模型预测能力实证比较研究,目的在于揭示分布假设对GARCH模型预测能力的影响。研究结果表明,使用厚尾分布假设(Student-t,GED)提高了模型的预测绩效。但引入偏斜student-t分布并未能进一步提高模型预测能力。
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| 关 键 词： | GARCH 厚尾分布 偏斜分布 预测 波动性 |
An Comparative Study on Forecasting Volatility of Shanghai Stock Index Using GARCH Model with Different Distributions |
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| Zheng Zhou. An Comparative Study on Forecasting Volatility of Shanghai Stock Index Using GARCH Model with Different Distributions[J]. Value Engineering, 2004, 23(3): 70-72 |
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| Authors: | Zheng Zhou |
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| Abstract: | This paper examines the forecasting performance of GARCH(1,1) model used with four distributions (Normal, Student-t, GED and Skewed Student-t). We explore and compare different possible sources of forecasts improvements: fat-tailed distributions and skewed distribution. The Shanghai stock index is studied using daily data over a 6-years period. Better forecasts are achieved when using fat-tailed distributions. However, increased performance of the forecasts is not clearly observed when using skewed distribution. |
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| Keywords: | GARCH fat- tailed distribution skewed distribution forecast volatility |
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