摘要
ARCH模型反映了随机过程的一种特性:即方差随时间变化而变化,且具有丛集性、波动 性。本文介绍了ARCH模型及其扩展模型的特点,并利用这些模型对上证A指股市收益进行实证分析。
ARCH modelreflects the special characteristics of stochastic process: the variance changes with the time changing and the variance is crowd together and fluctuated. In this paper we introduce the characteristic of ARCH model and its extended models, and by using these models we analyze A share index yields in Shanghai stock exchange.
出处
《首都经济贸易大学学报》
2006年第1期85-88,共4页
Journal of Capital University of Economics and Business