摘要
应用自回归条件异方差(ARCH)模型对上海股市2000年—2004年4月上证指数收益率进行建模分析;实证结果反映上证指数收益率具有明显的群集聚集性、波动性、尖峰厚尾的特征,并且ARCH模型的预测能力较强.
This article analyzed the yield of Shanghai stock exchange price index number during 2000 and 2004 with Autoregressive Conditional Heteroskedastic （ARCH） model. The demonstration shows that the characteristics like Volatility clustering, fluctuate, thicker tails than the density of the normal distribution in the yield of Shanghai stock exchange price index number is very evidence, and the forecast ability of the ARCH model is very strong.
出处
《数学的实践与认识》
CSCD
北大核心
2008年第8期1-6,共6页
Mathematics in Practice and Theory
关键词
ARCH模型
上证指数
波动性
ARCH model
Shanghai stock exchange price index number
fluctuate
