自回归条件异方差模型的研究分析  

Research on the Auto Regressive Conditional Heteroscedasticity Model

作　　者：王立凤[1] 陆晓倩[1] 

机构地区：[1]厦门大学经济学院

出　　处：《数量经济技术经济研究》2006年第3期135-140,共6页Journal of Quantitative & Technological Economics

摘　　要：自回归条件异方差(ARCH)模型适用于对具有群集性和方差时变性特点的经济类时间序列数据的回归分析和预测。本文对ARCH模型中待定参数的确定进行了详细推导;探讨了对ARCH模型扰动影响的敏感性进行分析计算的方法;并实例应用ARCH模型对股票收盘价格的全年变动进行预测,研究分析其特点。The ARCH model is expected to be able to analyze and forecast the time-series economic data which variance shows crowded and time-varied characteristics. In this paper, the determination of the parameters in the ARCH model was given; the method of investigating the model＇s sensitivity to the external disturbance was proposed. Finally a case study for the ARCH model was carried out. The model was applied to forecast the variation of stock price for a company during one whole year, and the characteristics of ARCH model were analyzed.

关 键 词：ARCH模型 预测 方差 扰动影响 股价 

分 类 号：F832.51[经济管理—金融学]