股票市场波动预测的ARCH族模型选择  

The Selection of ARCH Group Models of Volatility Forecasting in Stock Market

作　　者：庄彬惠[1] 曾五一[1] 

机构地区：[1]厦门大学经济学院,福建厦门361005

出　　处：《统计与信息论坛》2006年第4期48-52,共5页Journal of Statistics and Information

摘　　要：文章基于单步向前预测法,寻找对不同ARCH族波动预测模型进行选择的方法和评判标准,并以上证指数为例,根据有关评判标准,寻找适合我国股市的ARCH波动预测模型。On the basis of step - by - step forward forecasting method, this paper finds the method and standard for selecting the best one from different ARCH group models of volatility forecasting, taking the example of the composite index of Shanghai stock market, and finds the most suitable ARCH volatility forecasting model in China according to the relevant standard.

关 键 词：GARCH 指数EGARCH 非对称TGARCH 均值GARCH—M 单步向前预测法 

分 类 号：F832[经济管理—金融学]