| 上证指数的非线性动态结构分析 |
| |
| 引用本文： | 王鸿燕,余东,朱明.上证指数的非线性动态结构分析[J].湖北工业大学学报,2007,22(1):72-74. |
| |
| 作者姓名： | 王鸿燕 余东 朱明 |
| |
| 作者单位： | 武汉科技大学理学院,湖北,武汉,430081 |
| |
| 摘 要： | 采用高阶自回归条件异方差(ARCH)模型检验了上证指数的统计性质.GARCH-M(3,4)模型,TARCH-M(3,4)模型和EARCH-M(3,4)模型成功描述了上证指数的非线性动态结构及条件均值和条件方差下的不对称性.GARCH-M(3,4)模型的拟和效果较之后两个模型更好.
|
| 关 键 词： | 非线性 非对称性 条件异方差 上证指数 |
| 文章编号： | 1003-4684（2007）01-0072-03 |
| 收稿时间： | 2006-10-30 |
| 修稿时间： | 2006年10月30 |
The Non-linear Structure of the Shanghai Stock Exchange Index |
| |
| WANG Hong-yan,YU Dong,ZHU Ming.The Non-linear Structure of the Shanghai Stock Exchange Index[J].Journal of Hubei University of Technology,2007,22(1):72-74. |
| |
| Authors: | WANG Hong-yan YU Dong ZHU Ming |
| |
| Affiliation: | College of Sci. ,Wuhan Univ. of Sci. and Technology ,Wuhan 430081,China |
| |
| Abstract: | In this paper,the statistical properties of the Shanghai stock exchange index is studied by employing the Auto-Regressive Conditional Heteoskedastic model.A GARCH-M(3,4) model,TARCH-M(3,4) model and a EARCH-M(3,4) model successfully capture non-linear structure and asymmetries in the conditional mean and conditional variance.The GARCH-M(3,4) model is better in term of the latter performances. |
| |
| Keywords: | non-linear asymmetry Conditional Heteroskedastic the Shanghai stock exchange index |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
