摘要
采用带三类不同噪音的ARMA-ARCH模型拟合沪深股指收益率分布,并通过随机模拟的方式进行拟合优度检验,结果显示,基于分形高斯噪音的ARMA-ARCH模型能够较好刻画沪深股指收益率波动的长相依性、厚尾性及波动性聚类特征。进一步通过两类不同Copula-ARMA-ARCH模型处理沪深股指相依性,并通过随机模拟进行拟合优度检验,模拟结果显示,基于分形高斯噪音的Student’st Copula-ARMA-ARCH模型能够较好刻画沪深股指收益率波动的VaR风险。
The paper uses an ARMA-ARCH model with three different types of noise to fit Shanghai and Shenzhen stock index return distribution.The result of the goodness of fit test with the stochastic simulation method shows that the ARMA-ARCH model with fractal Gaussian noise can characterize the volatility of Shanghai and Shenzhen stock returns,such as long dependence,fat tails and volatility clustering.Further,two different types of Copula-ARMA-ARCH models are used to fit the dependence between Shanghai and Shenzhen stock indexes,and the result of the goodness of fit test with the stochastic simulation method shows that the Copula-ARMA-ARCH model with fractal Gaussian noise can better characterize the VaR of volatility of Shanghai and Shenzhen stock returns.
出处
《华东师范大学学报（哲学社会科学版）》
CSSCI
北大核心
2011年第6期123-130,153-154,共8页
Journal of East China Normal University（Humanities and Social Sciences）
基金
教育部人文社会科学一般基金项目(11YJC630276)的阶段性成果
