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ARCH模型对上证指数收益率的应用

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摘要 本文以上证指数收益率为研究对象,选取两个时间窗口,并对它们的收益率波动进行平稳性检验和ARCH效应检验。得出第一个时间窗口内上证指数存在明显的ARCH特征,第二个时间窗口存在较弱的ARCH特征;分析结果表明投资者行为非理性是ARCH效应的产生一个原因,尤其是机构投资者的非理性套利能使收益率序列产生较强的ARCH效应。
作者 张璇
出处 《企业研究》 2014年第6X期8-9,共2页 Business Research
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