CARCH模型在上证指数收益率分析中的应用被引量：2

Application of GARCH Model on the Analysis of Stock Exponential Rate of Return

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摘要本文运用Engle的ARCH法对上证指数收益率的异方差性进行了详细的分析,得出涨跌幅制制度的实施对收益率的异方差性有明显的影响,序列异方差性与序列长度存在密切的关系.在运用CARCH模型对序列进行拟合时,发现拟合模型的阶数与序列长度也存在一定的关系. In this paper, we applied Engle＇s ARCH model to analyze heteroscedastic character of stock exponential rate of return in detail, and we obtained that the implementation of the system of highs and lows breadth affects the heteroscedastic character obviously and the series heteroscedastic character is closely linked to the series length. When applying CARCH model to imitate the series, we find that the rank of the model is related to the series.

作者刘强徐全智杨晋浩

机构地区淮海工学院成都大学计算机科学技术系

出处《成都大学学报（自然科学版）》 2006年第2期81-83,87,共4页 Journal of Chengdu University（Natural Science Edition）

关键词 ARCH模型 Engk的ARCH法异方差性 ARCH model Engle＇s ARCH method heteroscedastic character

分类号 F224.0 [经济管理—国民经济]

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参考文献6

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