股票收盘价建立广义自回归条件异方差模型的实证分析  

Empirical Analysis of the Stock's Closing Price to Establish Generalized Auto Regressive Conditional Heteroscedasticity Models

作　　者：祝万伟 李福安[1] 

机构地区：[1]湖北师范学院,湖北黄石435002

出　　处：《区域金融研究》2015年第9期73-76,共4页Journal of Regional Financial Research

摘　　要：本文简要介绍了ARCH类模型理论,阐述了ARCH模型的建立过程及ARCH效应的检验方法。然后在根据太平洋股票三年的每日收盘价数据建立多个GARCH模型,再从中选取最理想的模型,并基于此模型进行短期预测,最后通过评价分析模型的短期预测结果,来看模型建立的适合程度,以此做一个完整的利用GARCH模型研究股票的实证分析。The paper briefly introduces the ARCH model theory,explains how to establish ARCH model and testmethod of ARCH effects. Then the paper creates multiple GARCH model based on the daily closing price data of Pacif-ic Equity in three years,then select the best one. And we use this model to make a short-term forecast. Finally,weuse short-term forecasting results to evaluate the suitability of the established model. Up to this point,we make a com-plete analysis of using GARCH model to study stock.

关 键 词：收盘价 GARCH模型 预测 

分 类 号：F830.91[经济管理—金融学]