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沪深300指数的GARCH模型族仿真研究

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摘要 应用GARCH模型族对沪深300指数进行实证研究,发现沪深300指数的波动存在明显的GARCH效应,股市波动存在持久性和弱杠杆效应;沪深300指数收益率条件方差是平稳系列,股市具有可预测性,用EGRACH-M(11,)模型能很好预测股市的波动。
作者 吴永兴
出处 《云南财经大学学报(社会科学版)》 2011年第5期99-102,共4页 Yunan Finance & Economics University Journal of Economics & Management
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