论文部分内容阅读
应用自回归条件异方差(ARCH)模型对上海股市2000年—2004年4月上证指数收益率进行建模分析;实证结果反映上证指数收益率具有明显的群集聚集性、波动性、尖峰厚尾的特征,并且ARCH模型的预测能力较强.
The Autoregressive conditional heteroscedasticity (ARCH) model was used to analyze the Shanghai Stock Exchange’s return rate from 2000 to April 2004. The empirical results show that the return rate of the Shanghai Composite Index has obvious clustering, volatility, sharp tail Feature, and ARCH model is more predictive.