自回归条件异方差模型在我国沪市的应用研究  

The Application of ARCH Model in Shanghai Stock Market

作　　者：李存行[1] 张敏[1] 陈伟[1] 

机构地区：[1]华南理工大学工商管理学院,广州510641

出　　处：《数学的实践与认识》2008年第8期1-6,共6页Mathematics in Practice and Theory

摘　　要：应用自回归条件异方差(ARCH)模型对上海股市2000年—2004年4月上证指数收益率进行建模分析;实证结果反映上证指数收益率具有明显的群集聚集性、波动性、尖峰厚尾的特征,并且ARCH模型的预测能力较强.This article analyzed the yield of Shanghai stock exchange price index number during 2000 and 2004 with Autoregressive Conditional Heteroskedastic （ARCH） model. The demonstration shows that the characteristics like Volatility clustering, fluctuate, thicker tails than the density of the normal distribution in the yield of Shanghai stock exchange price index number is very evidence, and the forecast ability of the ARCH model is very strong.

关 键 词：ARCH模型 上证指数 波动性 

分 类 号：F832.51[经济管理—金融学] F224