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上海股票市场收益率分布模型统计研究 被引量:1

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摘要 在金融市场迅速发展、金融创新不断深入的今天,股票市场的波动也日益加剧,风险明显增大,资产收益率的分布形态也更加复杂化。对上证综指对数收益率序列进行实证研究,依据严密的统计分析方法建立了GARCH-t(1,1)模型。最后,通过相应的模型检验方法验证了GARCH-t(1,1)模型能够很好的刻画上证综指对数收益率序列的统计特征。
作者 蔡晓黎
出处 《现代商贸工业》 2008年第10期239-240,共2页 Modern Business Trade Industry
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