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我国深证成指收益波动非对称性实证研究

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摘要 对于股票市场的研究发现,股价下跌和上涨相同幅度时,股价下趺过程往往会伴随着更剧烈的波动性。为了解释这种现象,本文拟采用GARCH族非对称性模型对深证成指收益率序列进行实证分析,验证我国深证股票市场是否存在着这种非对称性现象,并比较分析各模型的拟合效果。
出处 《时代经贸》 2010年第20期48-49,共2页 TIMES OF ECONOMY & TRADE
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