ARCH类模型研究及其在沪市A股中的应用

Research on ARCH-type models and application to shanghai stock exchange index

本文主要介绍ARCH(AutoregressiveConditionalHeteroskedasticity)模型、GARCH模型和E GARCH模型 ,分析这些模型的特点和适用范围 ,并在模型中引入t分布取代正态分布假设 ,最后利用这些模型对上证指数进行了实证分析。

In this paper, several ARCH type models are introduced in detail. In models, student t distributions are used to take place of normal distributions. Finally, GARCH model and EGARCH model are applied to Shanghai Stock Exchange index return data to describe ARCH effects.