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本文重点探讨了股指期货价格波动的各类预测模型(包括线性和非线性模型),运用的线性模型有:(1)随机游走模型,(2)自回归模型,(3)移动平均模型,(4)指数平滑模型,(5)双(Holt)指数平滑模型;非线性模型有:GARCH-M(1,1),EGARCH(1,1)和ESTAR模型。通过对股指期货价格波动的预测模型的介绍,希望能够对即将在我国推出的股指期货的理论研究和实际应用提供一些有益的借鉴。
This paper focuses on various types of forecasting models (including linear and nonlinear models) of stock index futures price fluctuations. The linear models used are: (1) random walk model, (2) autoregressive model, (3) moving average model, (4) exponential smoothing model, and (5) double exponential smoothing model. The nonlinear models include GARCH-M (1,1), EGARCH (1,1) and ESTAR models. Through the introduction of the forecasting model of the price volatility of the stock index futures, I hope to provide some useful references for the theoretical research and practical application of the stock index futures that will be launched in our country.