ARCH族模型对沪市综合指数的实证分析  

An Empirical Study of the Stock Composite by Using ARCH Model

作　　者：李丽莎[1] 于姝[1] 

机构地区：[1]中央财经大学信息管理系,北京100081

出　　处：《中央民族大学学报（自然科学版）》2004年第4期352-356,共5页Journal of Minzu University of China(Natural Sciences Edition)

摘　　要：　本文选取沪市股价综合日指数(1999 01 01～2002 12 30)作为样本,根据有效市场理论,利用股指的随机游走过程对上海股市的有效性进行检验,建立ARCH模型验证上海股市的可预测性.实证结果发现,上海股市具有杠杆效应、波动集群性和波动持续性.We chose the daily composite index of stock prices in Shanghai as the sample, and analyze the stock fluctuate by econometric method. According to the effective market theory, we do inspection on the stock prices by the course that leaves in the trip immediately, and make ARCH model to inspect the estimations. We find that the stock market in Shanghai has the qualifications of leverage, volatility concentration, and lasting fluctuation.

关 键 词：沪市 上海股市 ARCH 实证分析 综合指数 有效市场理论 波动持续性 发现 验证 样本 

分 类 号：N941[自然科学总论—系统科学] F832[经济管理—金融学]