证券投资基金市场的ARMA-ARCH类模型分析  

Analysis of ARMA-ARCH models for securities investment fund market

作　　者：惠军[1] 朱翠[1] 

机构地区：[1]合肥工业大学数学学院,安徽合肥230009

出　　处：《合肥工业大学学报（自然科学版）》2010年第7期1108-1112,共5页Journal of Hefei University of Technology：Natural Science

基　　金：教育部科技研究重大资助项目(309017)

摘　　要：文章通过分析自回归条件异方差(ARCH)类模型的统计结构,讨论了ARCH模型族的拟合波动性的优缺点,建立了ARMA-ARCH类模型,并用平稳帕雷托分布代替标准正态分布;以中信基金管理有限公司的股票基金与债券基金指数的收盘价为样本,对我国基金市场收益率分布用ARMA-ARCH类模型进行实证分析,解决了方差时变条件下金融波动时间序列建模问题,描述了基金序列的特性。The advantages and drawbacks of the class of ARCH models in simulating the volatility of financial markets are investigated by exploring the statistical structure of autoregressive conditional heteroscedasticity（ARCH） models.The ARMA-ARCH class of models is proposed and the normal Gaussian distribution is replaced by the stable Paretian distribution.Using the samples of the close prices of the stock fund and securities fund index from CITIC Fund Management Co.,Ltd.,the returns distribution of Chinese fund market is discussed with the ARMA-ARCH class of models.The proposed approach can establish time series model for financial volatility with time-varying variance and describe the sequence characteristics of the fund.

关 键 词：自回归条件异方差(ARCH)模型 ARMA-ARCH类模型 证券投资基金 波动性 

分 类 号：O21[理学—概率论与数理统计]