沪市180指数波动的实证研究

Empirical Analysis of the Volatility in Shanghai 180 Stock Index:By ARCH-type Model

本文将ARCH族模型运用于我国上海股票市场的实证分析,从实证结果中选择适合上证指数收益率序列的模型,我们得出运用GARCH(1,1)-t模型对上证180指数收益率序列进行刻画较为合适.

This paper studies empirical analysis of Shanghai 180 stock index by ARCH- type model. By comparing the results of applying different GARCH（1,1 ）, GARCH（1,1 ） - t, and GARCH（1,1 ） - M Model in Shanghai 180 stock index, it comes to a conclusion that GARCH（1,1 ） -t Model is more effective on financial market.