基于多尺度分析理论的中国股票市场波动的实证研究  

Research on the persistence of Chinese stock market volatility based on a multi-resolution analysis theory

作　　者：曾裕杨 彭选华[2] 

机构地区：[1]深圳发展银行重庆分行,重庆400015 [2]重庆大学数理学院,重庆400044

出　　处：《科技与管理》2007年第2期81-83,87,共4页Science-Technology and Management

摘　　要：运用多尺度分析理论研究中国股票市场的波动,借助MATLAB 7.3软件的小波分析工具箱(wavelet toolbox)和广义自回归条件异方差模型工具箱(GARCH toolbox),对上证综合指数收益率序列进行时域分析和多尺度分析,结果表明多尺度分析更能捕捉到中国股市的波动特点,明显提高GARCH模型的仿真预测精度。The paper uses the Multi-resolution Analysis Theory to study the volatility of Chinese stock markets, with the help of Wavelet-toolbox and GARCH-toolbox of the software MATLAB 7.3. The paper also analyzes the volatility non -positive Models and prediction of and persistence of the volatility of Shanghai stock index：the distribution of the rate of return is skewed. This paper simulates and predictes the volatility of Shanghai stock index by GARCH the result shows that the Multi-resolution Analysis Theory is effective in the simulation and the volatility of Shanghai stock index.

关 键 词：股市波动 多尺度分析 小波变换 广义自回归条件异方差模型 

分 类 号：F270[经济管理—企业管理]