The Research for Shanghai Stock Index Volatility Base on GARCH Model

被引：0
|
作者：
Wu Haijian [1 ]
Zhou Li [2 ]
机构：
[1] Beijing Wuzi Univ, Sch Continuing Educ, Sch Informat, Beijing 101149, Peoples R China
[2] Beijing Wuzi Univ, Sch Informat, Beijing 101149, Peoples R China
来源：
STATISTIC APPLICATION IN SCIENTIFIC AND SOCIAL REFORMATION | 2010年
关键词：
Shanghai Composite Index; GARCH model; GARCH-M model; EGARCH model; TGARCH model;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Chinese stock market development in a relatively short history, and has displayed great instability, this article select Shanghai stock market as the object to study, from the GARCH model of a single model to the application of multiple comparison analysis, to explore the regular of price fluctuations of Chinese stock market.
引用
收藏
页码：1008 / +
页数：2
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