| 基于上证指数的中国股市ARCH效应分析 |
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| 引用本文： | 张婧.基于上证指数的中国股市ARCH效应分析[J].价值工程,2014(32):230-231. |
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| 作者姓名： | 张婧 |
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| 作者单位： | 中国农业银行公司与投行业务部,北京,100005 |
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| 摘 要： | 股票价格频繁的波动是股票市场最明显的特征之一。本文以上证指数每日收益率为研究对象,检验股票价格指数的波动是否具有条件异方差性,检验得到肯定回答后,通过ARCH族模型来研究股价指数收益率的波动性。
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| 关 键 词： | 波动性 ARCH模型 上证指数 |
The ARCH Effect Analysis of Chinese Stock Market Based on Shanghai Stock Index |
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| ZHANG Jing.The ARCH Effect Analysis of Chinese Stock Market Based on Shanghai Stock Index[J].Value Engineering,2014(32):230-231. |
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| Authors: | ZHANG Jing |
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| Institution: | ZHANG Jing (Corporate and Investment Banking Business Department, Agricultural Bank of China, Beijing 100005, China) |
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| Abstract: | The frequent fluctuation of the stock price is one of the most obvious characteristics of the stock market. This paper takes the daily yield of Shanghai stock index as the research object to examine if the volatility of the stock price index has conditional heteroskedasticity or not. If the answer is ＂yes＂, the research of the stock index volatility of stock index yield can be done by the ARCH model. |
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| Keywords: | volatility the ARCH model Shanghai stock index |
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