非线性GARCH模型在中国股市波动预测中的应用研究
2000-01-15分类号：F224.0
【部门】
【摘要】ThispaperstudiestheperformanceoftheGARCHmodelandtwoofitsnon linear modificationstoforecastChina’sweeklystockmarketvolatility .Themodelsarethe QuadraticGARCHandtheGlosten ,JagannathanandRunklemodelswhichhavepro posedtodescribetheoftenobservednegativeskewnessinstockmarketindices.Wefind thattheQGARCHmodelisbestwhentheestimationsampledoesnotcontainextreme observationssuchasthestockmarketcrashandthattheGJRmodelcannotberecom mendedforforecasting .
【关键词】中国股票市场 波动预测 非线性GARCH模型
【基金】
【所属期刊栏目】统计研究
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