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以2008年1月7日到2012年3月30日为样本数据,建立基于广义误差分布的GARCH模型.结果表明,行业指数收益率波动具有“长期记忆性”并且股市价格的波动呈现非对称性,即存在杠杆效应.改变了以往运用总体角度方法,以行业角度出发,同时引入了流动性风险这一控制因素,分析汇市与股市的关系,结论更具有现实意义.
The GARCH model based on the generalized error distribution is established based on the sample data from January 7, 2008 to March 30, 2012. The results show that the volatility of the index returns of the industry is “long-term memory” and the volatility of the stock market is non-observable Symmetry, that is, there is a leverage effect.Changed the previous use of the overall point of view, from an industry point of view, while introducing the liquidity risk of the control factor, the analysis of the relationship between foreign exchange and the stock market, the conclusion more practical significance.