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将参数与非参数ARCH模型应用于我国2007年5月15日至2012年3月9日沪深指数波动率的研究,得出的结论为:对于上证指数波动率的非参数ARCH模型估计精度和预测结果优于参数ARCH模型,而针对深证成指波动率的非参数ARCH模型估计精度低于参数ARCH模型,两者预测结果相当;总体而言两种方法得到的均方误差都非常小。文章将非参数ARCH模型应用于沪深两市收益率波动的描述中并较客观的给出了相关结果及建议,为日后将非参数ARCH模型作为一个可供选择的计量方法应用于金融资产波动研究打下了一定的基础。
The parametric and nonparametric ARCH models are applied to the volatility of the Shanghai and Shenzhen indices from May 15, 2007 to March 9, 2012. The conclusions are as follows: For the estimation accuracy of the non-parametric ARCH model with Shanghai Stock Index volatility and The prediction result is better than the ARCH model, while the non-parametric ARCH model for the volatility of Shenzhen Component Index is lower than the ARCH model for the volatility of the Shenzhen Composite Index. The prediction results of the two models are quite good. Generally speaking, the mean square error obtained by the two methods is very small. In this paper, the non-parametric ARCH model is applied to the description of the volatility of returns in Shanghai and Shenzhen stock markets and objectively given the relevant results and recommendations. This paper applies non-parametric ARCH model as an alternative measurement method to the volatility of financial assets in the future Research has laid a certain foundation.