我国股市长记忆性的检验与拟合  

Examination and Simulation of Long Memory Property in the our Stock Market

作　　者：胡彦梅[1] 张卫国[1] 

机构地区：[1]宁夏大学数学系,宁夏银川750021

出　　处：《固原师专学报》2004年第3期21-25,共5页Journal of Guyuan Teachers College

摘　　要：应用R/S分析检验上证综指收益序列和波动序列有无长记忆特征 ,结果发现波动序列呈现较强的长记忆特征 ,而收益序列的长记忆特征比较弱 .在此基础上 ,采用双长记忆模型进一步检验收益序列的长记忆性 ,选择ARMA(1,1) -FIGARCH(1,d ,0 )R/S analysis method is applied to test long memory for Shanghai daily return and volatility series.The results show that the former present strong long memory property,while weak long memory exists in the latter.In addition,double long memory model if semployed to examine again the long memory of return series and ARMA(1,1)-FIGARCH(1,d,0)is chosen to simulate the dynamic characteristic of the data.

关 键 词：长记忆 R/S分析 ARFIMA-FIGARCH模型 

分 类 号：O29[理学—应用数学]