基于GARCH族模型的创业板指波动率预测效果比较研究

Comparative Research on the Effects of Prediction for the Volatility of GME Index Based on GARCH-Type Models

创业板的推出虽为投资者提供了更为多样的投资渠道,但其投资风险明显高于主板市场。本文运用GARCH族模型对创业板指波动率进行了实证分析,并对各模型的波动率预测效果进行比较。结果表明,AR(1)-GARCH(1,1)模型对创业板指波动率的预测更为有效。

Although the launch of GME provides more investment selections for the investor, its risk is obviously higher than the main board. This paper empirically analyzes on the volatility of GME index based on GARCH-Type models, and Comparatively research on the effects of prediction for the volatility of each model. The result indicates that prediction of the volatility of GME index by AR （ 1 ）-GARCH （ 1,1 ） model is more effective.