| 基于考虑外生变量的SWARCH模型对中国股市波动性的实证研究 |
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| 引用本文： | 李金凤,张德生,井霞霞.基于考虑外生变量的SWARCH模型对中国股市波动性的实证研究[J].西北轻工业学院学报,2012(1):82-86. |
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| 作者姓名： | 李金凤 张德生 井霞霞 |
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| 作者单位： | 西安理工大学理学院 |
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| 摘 要： | 货币供应量是货币政策的主要调控指标，在很大程度上影响着股市的波动情况，作者将货币供应量作为外生变量加入到SWARCH模型中，建立了上证指数的考虑外生变量的SWARCH模型，实证研究结果表明该模型具有较好的拟合和预测效果．
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| 关 键 词： | 上证指数 GARCH外生变量 GARCH模型 SWARCH模型 |
EMPIRICAL RESEARCH OF CHINA STOCK MARKET BASED ON SWARCH MODEL CONSIDERING EXOGENOUS VARIABLES |
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| LI Jin-feng,ZHANG De-sheng,JING Xia-xia.EMPIRICAL RESEARCH OF CHINA STOCK MARKET BASED ON SWARCH MODEL CONSIDERING EXOGENOUS VARIABLES[J].Journal of Northwest University of Light Industry,2012(1):82-86. |
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| Authors: | LI Jin-feng ZHANG De-sheng JING Xia-xia |
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| Affiliation: | (School of Science,Xi′an University of Technology,Xi′an 710054,China) |
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| Abstract: | Money supply is the major regulatory targets of monetary policy,to largely affect the stock market volatility,this paper will be money supply as an exogenous variable into the SWARCH model,establishing the SWARCH model of the Shanghai Index,which considering exogenous variables.Empirical result shows that the model has good fit and prediction. |
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| Keywords: | Shanghai Index exogenous variables GARCH model SWARCH model |
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