上海证券市场回报率分析——基于ARIMA模型和GARCH模型(英文)  

Shanghai Stock Market Return Analysis Based ARIMA model and GARCH Model

作　　者：赵梅春[1] 

机构地区：[1]广东金融学院数学系,广州市510521

出　　处：《数学理论与应用》2008年第2期1-4,共4页Mathematical Theory and Applications

基　　金：广东金融学院院级课题(06xj03-01)

摘　　要：本文分析中国上海证券市场回报率。分别通过ARIMA模型和GARCH模型,发现若用ARIMA模型分析和建立时间序列模型,一次自回归项是不够的,需要高次项,在大多数情形,若运用GARCH模型,则GARCH(1,1)就能够很好的拟合数据。In this paper, relative returns of selected stocks at Chinese Shanghai Stock Exchange has been performed. Box - Jenkins ARIMA models have been employed for return time series modelling. We find Instead of autoregressie terms of first order, higher terms are also necessary. In most cases, GARCH （1,1） is quite satisfactory.

关 键 词：证券市场回报率 ARIMA模型 GARCH模型 上海 

分 类 号：F832.51[经济管理—金融学] F224