基于信息传播的混合GARCH模型
2006-08-15分类号:F224
【部门】中国人民大学经济学院 中国人民大学
【摘要】This paper concerns with the efficiency of speculative market to incorporate new information into price.The GARCH(1,1) model is modified to capture the effect of information disseminating speed on the conditional volatility of stock index returns.Different empirical results are presented when this model applied to Shanghai and New York stock markets.We also explain empirical results according to the difference between two markets' microstructures.
【关键词】信息传播速度 混合分布 GARCH模型
【基金】国家社科基金(05BJL028)资助。
【所属期刊栏目】统计研究
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