模型FI-EGARCH-M的建立及实证分析  

Construction and Empirical Analysis for FI-EGARCH-M Model

作　　者：阿荣[1] 张宏伟[1] 徐赐文[1] 

机构地区：[1]中央民族大学理学院,北京100081

出　　处：《数学的实践与认识》2011年第9期56-69,共14页Mathematics in Practice and Theory

基　　金：国家自然科学基金(10871200);中央民族大学"211"工程项目(021211030312)

摘　　要：近年来,金融市场在经济发展中占据了越来越重要的位置,金融数据波动规律成为各国学者竞相研究的热门课题.根据我国近几年来股票市场的波动特点,为其寻找更为合适的模型来拟合股票价格波动规律,即对股票价格波动做进一步分析.提出具有有效市场和分形市场二者优点的FI-EGARCH-M模型,并用所建立的模型对上证指数进行了实证分析.In recent years, financial market occupies an increasingly important position in economic development. The rules of fluctuation of the finacial data become a hot research topic among the scholars from various countries. Based on the characteristics of the fluctuation of our country＇s stock market in recent years, we try to search for a more appropriate model to fit the fluctuation rules of stock prices. That is, to make a further analysis of the stock price fluctuation. In this article we propose a FI-EGARCH-M model owning the advantage of the efficient market and fractal market, and use this model to make a empirical analysis for the Shanghai Stock Index.

关 键 词：FI-EGARCH—M模型 金融市场 上证指数 

分 类 号：F224[经济管理—国民经济] F830.91