ARCH族模型及其对沪市股票收益率波动性应用的研究

本文介绍一些ARCH族模型,并经过将其中的GARCFI模型和EGARCFI模型应用到沪市股破收益率中,检验了沪市股票收益率的一些特征,结论表明沪市具有波动的集群性和持续性,但是杠杆效应不明显。经过分析,说明我国在股改之后,国家应当尽早对股票投资者进行教育,改善市场参与者的理性,完善市场有机的成熟性。

ARCH race model and to Shanghai stock returns ratio undulatory property application research

This article introduced some ARCH race model,and after applies GARCFI model and the EGARCFI model in the Shanghai stock broken returns ratio,examined Shanghai stock returns ratio some characteristics,the conclusion had indicated Shanghai had the undulation colony and the endurance, but the release lever effect was not obvious. After the analysis, explained our country changes after the stock, the country must as soon as possible carry on the education to the stock investor, improves the market participant's rationality, perfect market organic maturation.