论文部分内容阅读
随着股票市场规模的不断扩大,股票市场的不确定性也随之加剧,为了研究股票市场的发展状况。本文选取上证180指数1996年7月4日至2015年6月18日的日收盘数据为研究对象,针对其收益率序列,运用GARCH模型、对其进行拟合和检验。结果表明,GARCH(2,2)模型能够较好的拟合上证180指数收益率序列,且具有明显的异方差性和波动性。
As the size of the stock market continues to expand, the uncertainty of the stock market has also intensified in order to study the development of the stock market. This paper chooses the daily closing data of SSE 180 Index from July 4, 1996 to June 18, 2015 as the research object, and applies GARCH model to its yield series to fit and test it. The results show that the GARCH (2,2) model can well fit the yield series of the SSE 180 Index with significant heteroscedasticity and volatility.