中国股市收益的ARCH模型与实证分析

ARCH model of share yields on china stock market and empirical analysis

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.