| GARCH模型的残差分布比较研究及实证分析 |
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| 引用本文： | 王长辉.GARCH模型的残差分布比较研究及实证分析[J].成都纺织高等专科学校学报,2012,29(3):14-16. |
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| 作者姓名： | 王长辉 |
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| 作者单位： | 成都纺织高等专科学校,四川成都611731 四川大学数学学院,四川成都610064 |
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| 摘 要： | 在三种不同的分布假设:正态分布、学生t分布、GED分布下,对GARCH模型进行了比较研究。并对沪深300指数收益率进行了实证分析。研究结果表明:在不同的分布假设下,GED分布更能反映沪深300指数收益率的尖峰厚尾性,更能准确地描述沪深市场的波动性。
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| 关 键 词： | GARCH模型 正态分布 学生t分布 GED分布 波动群聚性 |
Comparative Study and Empirical Analysis of Residual Distribution of GARCH Model |
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| WANG Chang-hui.Comparative Study and Empirical Analysis of Residual Distribution of GARCH Model[J].Journal of Chengdu Textile College,2012,29(3):14-16. |
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| Authors: | WANG Chang-hui |
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| Affiliation: | WANG Chang - hui ( 1. Chengdu Textile College, Chengdu 611731 ; 2. College of Mathematics, Sichuan University, Chengdu 610064) |
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| Abstract: | GARCH models were comparatively studied based on three different distribution assumptions such as Normal distribution, Student T - distribution and GED distribution and empirical analysis was conduc- ted for the return rate of HS300 stock index. The result showed that the GARCH model with GED distribution more accurately reflected the fat - tailness of the return rate of HS 300 and the volatility of Shanghai and Shenzhen stock markets. |
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| Keywords: | GARCH model Normal distribution Student T - distribution GED distribution volatility clustering |
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