摘要
股票价格频繁的波动是股票市场最明显的特征之一。本文以上证指数每日收益率为研究对象,检验股票价格指数的波动是否具有条件异方差性,检验得到肯定回答后,通过ARCH族模型来研究股价指数收益率的波动性。
The frequent fluctuation of the stock price is one of the most obvious characteristics of the stock market. This paper takes the daily yield of Shanghai stock index as the research object to examine if the volatility of the stock price index has conditional heteroskedasticity or not. If the answer is ＂yes＂, the research of the stock index volatility of stock index yield can be done by the ARCH model.
出处
《价值工程》
2014年第32期230-231,共2页
Value Engineering
关键词
波动性
ARCH模型
上证指数
volatility
the ARCH model
Shanghai stock index
