股票收益随机波动模型研究

被引：15

作者：

沈根祥

机构：

[1] 上海财经大学经济学院上海

来源：

关键词：

厚尾; 波动群集; GARCH; 随机波动; 涨跌停板;

D O I：

10.16381/j.cnki.issn1003-207x.2003.02.004

中图分类号：

F830.91 [证券市场];

学科分类号：

1201 ; 020204 ;

摘要：

通过对金融资产时间序列数据特点的分析,指出GARCH模型在描述金融资产时序数据的局限,尝试用随机波动模型刻画股票收益的波动规律,采用GMM方法估计模型参数,并以上海证券交易所综合指数日收益率数据为样本,对沪市指数收益波动进行实证研究,探讨涨跌停板制度对股市波动的作用。

引用

页码：17 / 21

页数：5

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