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中国沪深股市波动的实证分析

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摘要 近些年来,股票市场的波动在国际金融实证领域越发得到重视,它的各种重要特征如集聚性、非对称性和持续性等都得到许多学者的关注和研究,因此对国内股市的波动进行分析是具有重大的现实意义的。首先,对股市收益率进行描述性统计并进行诊断性分析;其次,在GRACH族模型实证探究中,经过一系列适用性检验之后,对沪深股指建立三个模型并求解;最后,得出我国沪深股指总体收益率序列波动存在显著的"非对称性效应"等一系列结论。
作者 孔静
出处 《中国市场》 2016年第14期87-88,共2页 China Market
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参考文献5

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