摘要
对证券市场中股价波动与交易量的关系进行相关分析。根据上证指数波动率及交易量序列表现出的尖峰厚尾、波动簇聚用GARCH族模型建模,并对模型进行拟合比较,结果表明EGARCH-t、GARCH-t模型拟合这两个序列较为充分。对于两个序列的条件相关性,用阿基米德Copula函数来描述,结果表明Gumbel Copula拟合度最优。
The relationship between price volatility and trading volume in the Stock Market is analyzed. GARCH cluster models are used to model for the fat tails, volatility clustering shown from the Shanghai index volatility and trading volume series. The results from models fitting show that EGARCH-t, GAREH-t models fit much more fully the series. Archimedean Copula functions are used to describe the condition correlation of the series, the results show that goodness of fitting of the Gumbel Copula is best.
出处
《科技通报》
北大核心
2012年第7期187-191,共5页
Bulletin of Science and Technology
基金
浙江省重大科技计划项目(2011C11048)
