基于非参数模型对上海股市收益率的实证分析

Empirical Analysis of the Return Rate of Shanghai Stock Market Based on the Nonparametric Model Method

函数系数自回归模型FAR(p,d)是一类具有适应性的模型.利用函数系数自回归模型对上海股市日收益率进行非参数建模,然后用广义似然比非参数的条件自助法对模型进行检验,从而确定了合适的模型并分析了上证综合指数收益率的非线性特征.

This paper makes use of the functional coefficient autoregressive model to model the daily revenue of Shanghai stock market.Then,the generalized likelihood ratio and condition of the nonparametric bootstrap method are adopted to test the model.Lastly,an appropriate nonparametric model is used to analyze the non-linear characteristics of the daily revenue of Shanghai composite stock index.