摘要
运用GARCH类模型对沪深300指数序列的波动性、收益率进行了实证研究,并且对序列做了拟合与预测,获得了不错的效果。除此,还证实了中国股市存在着显著的非对称效应。
In this paper,GARCH models are used to study the volatility and yield of Shanghai Shenzhen 300 Index,and the time sequence of Shanghai Shenzhen 300 Index is fitted and forecasted,some good effects have obtained.Besides,the Chinese stock market has significant asymmetric effects,which also could be proved in the paper.
出处
《经济研究导刊》
2011年第34期74-77,234,共5页
Economic Research Guide
