摘要
用GARCH模型及其推广模型,分析了我国华安创新基金收益率的波动情况。实证分析结果表明:华安创新基金收益率存在异方差性和不对称的现象,用EGARCH-M(2,2)模型就能较好模拟该基金收益率的特征。
In this paper, we used the GARCH model and generalize model to analyze the volatility of the return rate Hua-An-Chuang-Xin Fund. The empirical analysis revealed that the time sequence has the quality of conditional Heteroskedasticity relation and non-symmetry. We found that EGARCH-M （2,2） model can simulate the characteristics of the fund return rate.
出处
《系统工程》
CSCD
北大核心
2006年第4期73-76,共4页
Systems Engineering
基金
国家自然科学基金资助项目(70372040)
