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本文以上证综指和深成分指数的日收益率为研究对象 ,应用 GARCH、TARCH模型理论 ,进一步分析了日收益率波动的条件异方差性、非对称性 ,同时比较了两个股票市场的不同波动特征
In this paper, the daily returns of the Shanghai Composite Index and the Shenzhen Component Index are taken as the research objects. The GARCH and TARCH models are used to further analyze the conditional heteroskedasticity and asymmetry of the daily returns volatility. Simultaneously, the differences between the two stock markets are compared Fluctuation characteristics