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近年来,金融市场在经济发展中占据了越来越重要的位置,金融数据波动规律成为各国学者竞相研究的热门课题.根据我国近几年来股票市场的波动特点,为其寻找更为合适的模型来拟合股票价格波动规律,即对股票价格波动做进一步分析.提出具有有效市场和分形市场二者优点的FI-EGARCH-M模型,并用所建立的模型对上证指数进行了实证分析.
In recent years, financial markets occupy an increasingly important position in the economic development, and the fluctuation of financial data has become a hot topic competing in the research of scholars all over the world.According to the fluctuation characteristics of the stock market in recent years in our country, we are looking for a more suitable model To simulate the volatility of the stock price, that is to say, the stock price volatility is further analyzed.Finally, the FI-EGARCH-M model with both the effective market and the fractal market is proposed, and the empirical analysis of the Shanghai Composite Index is conducted with the established model.