摘要
研究了将ARMA模型与ARCH族模型相结合,通过建立ARMA-EGARCH-M模型来拟合证券市场波动性,基于大样本数据通过样本期内外模型预测能力检验,得出结论认为ARMA-EGARCH-M模型对上海证券市场波动性拟合优于传统的ARCH族模型。
The authors study the securities market volatility appraisal methods through establishing ARMAEGARCH -M model by joining ARMA model with ARCH group models.By examination of measuring indices for forecasting error based on mass sample,it's concluded in the paper that ARMA-EGARCH-M model surpasses ARCH group models on Shanghai securities market volatility fitting.
出处
《中国管理科学》
CSSCI
2008年第S1期259-262,共4页
Chinese Journal of Management Science
基金
国家社会科学基金资助项目(04XJY041)
