| ARCH族模型及其对深圳股票市场的实证分析 |
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| 引用本文： | 魏娜.ARCH族模型及其对深圳股票市场的实证分析[J].数学理论与应用,2006,26(3):60-63. |
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| 作者姓名： | 魏娜 |
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| 作者单位： | 中南大学数学科学与计算技术学院 长沙410075 |
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| 摘 要： | ARCH族模型是动态非线性的股票定价模型,它在金融和经济领域具有广阔的应用前景.在短短二十年时间里取得了迅速的发展,先后提出了GARCH、ARCH-M、TARCH、EGRACH等模型丰富了ARCH族模型.本文从ARCH族模型出发,简要介绍了其主要形式和特点,然后将ARCH族模型运用于我国深圳股票市场的实证分析,从实证结果中总结深圳股市的总体特征.
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| 关 键 词： | ARCH族模型 条件异方差 股票市场 杠杆效应 |
| 收稿时间： | 12 20 2005 12:00AM |
The Class of the ARCH Modern and Analysis in Shenzhen Stock Market |
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| Wei Na.The Class of the ARCH Modern and Analysis in Shenzhen Stock Market[J].Mathematical Theory and Applications,2006,26(3):60-63. |
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| Authors: | Wei Na |
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| Affiliation: | Central South UniversitY,Changsha,410075 |
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| Abstract: | ARCH model is a kind of dynamic non-linear time series model.It has widely used in the field of the finance and economic.In short the two decades,it has been developed very fast and came up with the other models like GARCH,ARCH-M,TARCH,and EGARCH.These models enrich the class of ARCH models.This paper start with the class of the ARCH models and simply introduces their main patter and character,then apply it on the shenzhen stock market and find the whole characeristics of the stock in the results. |
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| Keywords: | the class of the ARCH model ARCH stock market level result |
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