摘要
以股权分置改革以来上证指数的日收益为样本,基于广义偏斜t分布的APARCH模型进行样本内拟合。与现有研究大多发现股市收益率具有尖峰厚尾的结果有所不同,本文发现中国上证指数的收益率经APARCH模型拟合后表现出负偏斜且尖峰薄尾的高阶矩特征。
Since the split share structure reform to the Shanghai index daily returns for the sample,based on the generalized skew t distribution APARCH sample model fitting.Most of existing studies and found that stock market returns have fat tail of the results vary;we find that China＇s Shanghai index by APARCH model fitting yields showed a negative deflection after the peak and the characteristics of a thin tail of higher moments.
出处
《科教文汇》
2011年第3期203-204,共2页
Journal of Science and Education
关键词
偏斜
峰度
高阶矩
APARCH
deflexion
peakedness
higher order moment
PARCH
