股票收益率波动和极值关系研究  

The Analysis of Relationship between Fluctuation and Extremum of Returning Rate of Shares

作　　者：柳会珍[1] 顾岚[2] 

机构地区：[1]北京化工大学数学系 [2]中国人民大学统计学院

出　　处：《统计研究》2006年第10期68-71,共4页Statistical Research

摘　　要：Nonlinear time series models GARCH and Extreme value theory are employed to explore the relationship between the volatility and exreme value of stock returns.Given the pass information,we assume the innovation follows the conditional t-distribution and generalized error distribution,then we fit ARMA models to the retum level and GARCH,EGARCH and TGARCH models to the volatility of the rerurn.Finally we obtain the tails indices for the innovation and the returns by using the statistical extreme value method,and the statistical results show that the tail indices of returns coincide with the one of innovations for the EGARCH models.Nonlinear time series models GARCH and Extreme value theory are employed to explore the relationship between the volatility and exreme value of stock returns. Given the pass information, we assume the innovation follows the conditional t-distribution and generalized error distribution, then we fit ARMA models to the return level and GARCH, EGARCH and TGARCH models to the volatility of the rerurn. Finally we obtain the tails indices for the innovation and the returns by using the statistical extreme value method, and the statistical results show that the tail indices of returns coincide with the one of innovations for the EGARCH models.

关 键 词：非线性时间序列 统计极值理论 波动 新息 尾指 

分 类 号：F832.51[经济管理—金融学]