考虑流动性风险的ARMA模型在股票收益率中的应用研究

ARMA Model of the Stock Returns Considering Liquidity Risk

把度量流动性风险的指标结合到ARMA模型中,对3个综合性指标:Amivest流动比率、马丁指数(Martin Index)、休-赫贝尔流动性比率进行比较分析.以三一重工股票收益率数据为实证样本,研究表明,考虑流动性风险的ARMA模型比一般的ARMA模型优越,而带马氏指数的ARMA模型在所分析的模型当中拟合结果最好.

This paper incorporats the measure of liquidity risk indicators into ARMA model,and then compares three comprehensive index：Amivest liquidity ratio,Martin index and Hugh Hebbel liquidity ratio. We chose Sany stock returns as the empirical data samples,then the research indicates that,the ARMA model considering liquidity risk is superior than the general ARMA model,while the index of the ARMA model with Markov analysis in the model has the best fitting results.