我国股市EGARCH效应实证研究

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摘要本文主要是应用EGARCH-M,来分析我国股票市场聚集性、非对称性以及风险与收益关系。在EGARCH-M模型中分别引入t分布和广义误差分布,同时比较结果表明E-GARCH-M-t在描述我国股市特性方面优于其他模型。

作者付坤

机构地区湖北工业大学工程技术学院

出处《当代经济》 2010年第20期154-155,共2页 Contemporary Economics

关键词 EGARCH-M 聚集性非对称性 T分布广义误差分布

参考文献5

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当代经济

2010年第20期

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