摘要
本文对不同分布假定的ARCH族模型进行了比较,发现基于GED的GARCH类模型较好地解释了收益率分布的尖峰性和厚尾性,并在此基础上选取我国基金市场的日收益率观测数据进行实证分析,对收益率的波动性进行研究,试图找出我国基金市场价格分布的合理解释。
This paper compares the assumption that the distribution of different ethnic ARCH models and finds that the GARCH model based on the distribution of GDE can be used to explain better the peak and thick tail feature of the yield series distribution. On the basis,it analyses the daily yield series of China＇s fund market,and does some research on the volatility of the yield series,trying to present a reasonable explanation on the distribution of the fund market price.
