沪市股票价格指数的GARCH模型  

The GARCH Model of the Index of Shanghai Stock

作　　者：杨柳[1] 

机构地区：[1]中南大学数学系,长沙410075

出　　处：《数学理论与应用》2009年第3期40-43,共4页Mathematical Theory and Applications

摘　　要：首先用OLS法对沪市股票价格指数建模,对统计量进行分析发现该模型的误差项具有条件异方差性,因此采用GARCH方法拟合并检验,结果表明GARCH(1,1)拟合的很好。We propose a normative analysis method on OLS effect of the index of Shanghai stock, which indicates that the residual has heteroscedasticity. So, we apply GARCh on the series, the statistics show this model performs very well.

关 键 词：沪市股票价格指数 异方差性 GARCH 

分 类 号：F224[经济管理—国民经济] F832.51