摘要
利用GARCH模型对上海股市个股的持续性进行分析。由协同持续的思想,从投资组合的角度研究消除风险的持续性达到规避风险的途径。通过对上海股市实例分析,发现线性组合后持续性不降低反而升高。进一步考虑金融市场的非线性性,扩展了协同持续的概念,利用投资组合的非线性协同持续,可以达到规避风险的目的。
This paper uses GARCH model to analyze the persistence of individual stock in Shanghai stock market, and persistence is eliminated by portfolio investment of stocks in order to avoid risk according to co-persistence. As the result, the persistence of linear combination increases not drops by analyzing the example in the Shanghai stock market. In further, this paper considers nonlinear nature of financial market, and extends the notion of co-persistence and puts forward the nonlinear co-persistence of investment combinatin.
出处
《系统工程理论方法应用》
北大核心
2005年第3期275-279,共5页
Systems Engineering Theory·Methodology·Applications
基金
国家自然科学基金资助项目(70471050)
