证券市场波动性评价方法研究  

Study on Securities Market Volatility Appraisal Methods

作　　者：张博[1] 殷仲民[1] 

机构地区：[1]西安理工大学工商管理学院,陕西西安710054

出　　处：《中国管理科学》2008年第S1期259-262,共4页Chinese Journal of Management Science

基　　金：国家社会科学基金资助项目(04XJY041)

摘　　要：研究了将ARMA模型与ARCH族模型相结合,通过建立ARMA-EGARCH-M模型来拟合证券市场波动性,基于大样本数据通过样本期内外模型预测能力检验,得出结论认为ARMA-EGARCH-M模型对上海证券市场波动性拟合优于传统的ARCH族模型。The authors study the securities market volatility appraisal methods through establishing ARMAEGARCH -M model by joining ARMA model with ARCH group models.By examination of measuring indices for forecasting error based on mass sample,it's concluded in the paper that ARMA-EGARCH-M model surpasses ARCH group models on Shanghai securities market volatility fitting.

关 键 词：波动性 自回归条件异方差 时间序列 

分 类 号：F224[经济管理—国民经济] F832.51