摘要
GARCH模型是近20年发展起来的时间序列模型,它反映了经济变量之间特殊的不确定形式:方差随时间变化而变化,所以其在金融市场的预测与决策方面有着重要的作用。本文详细介绍了GARCH模型以及其主要变形,并建立了基于t分布和正态分布假设的GARCH(1,1)模型对股票市场进行了风险分析。结果表明,基于t分布的假设能更准确地拟和GARCH(1,1)模型。
GARCH model is a kind of time series model developed after 1982. It reflects a special feature of economic variables-time-varying variances. So it plays the important role in the financial market. We introduce the form and classes of GARCH in this article in detail, then we establish the GARCH （1,1）-t and GARCH（1,1）-normal model to analyse the risk of stock market. The result indicates that GARCH（1,1 ）-t model is better than others.
出处
《运筹与管理》
CSCD
2005年第4期144-146,共3页
Operations Research and Management Science
