| 中国股市收益的ARCH模型与实证分析 |
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| 引用本文： | 张玉春. 中国股市收益的ARCH模型与实证分析[J]. 首都经济贸易大学学报, 2006, 8(1): 85-88 |
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| 作者姓名： | 张玉春 |
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| 作者单位： | 首都经济贸易大学,北京,100026 |
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| 摘 要： | ARCH模型反映了随机过程的一种特性:即方差随时间变化而变化,且具有丛集性、波动 性。本文介绍了ARCH模型及其扩展模型的特点,并利用这些模型对上证A指股市收益进行实证分析。
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| 关 键 词： | ARCH模型 丛集性 波动性 |
| 文章编号： | 1008-2700(2006)01-0085-04 |
| 收稿时间： | 2005-10-18 |
| 修稿时间： | 2005-10-18 |
ARCH model of share yields on china stock market and empirical analysis |
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| ZHANG Yu-chun. ARCH model of share yields on china stock market and empirical analysis[J]. Journal of Capital University of Economics and Business, 2006, 8(1): 85-88 |
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| Authors: | ZHANG Yu-chun |
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| Affiliation: | Capital University of Economics and Business, Beijing 100026, China |
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| Abstract: | ARCH modelreflects the special characteristics of stochastic process: the variance changes with the time changing and the variance is crowd together and fluctuated.In this paper we introduce the characteristic of ARCH model and its extended models,and by using these models we analyze A share index yields in Shanghai stock exchange. |
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| Keywords: | ARCH model crowd fluctuation |
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