基于ARCH類模型的我国沪市股指波动性研究.docVIP

基于ARCH类模型的我国沪市股指波动性研究 彭亚 （南京大学，江苏 南京 210093） 摘 要：金融市场的波动一直是经济分析人员和投资者关注的焦点。以沪市综合指数为研究对象，分别运用ARCH模型、GARCH和TARCH模型进行初步研究，分析我国沪市股价波动的动态特征，结果表明GARCH和TARCH模型对我国沪市都有较好的拟合效果。 关键词：ARCH模型GARCH模型TARCH模型沪市波动性 Research of Shanghai stock index volatility in China - Based on ARCH models (Nanjing University, Jiangsu Nanjing, 210093) ABSTRACT Financial market volatility has been the economic analysts and investors focus.The Shanghai composite index as the research object，using ARCH、GARCH and TARCH mode respectively, analyse the dynamic characteristics of Shanghai stock price, results show that the Shangha