湖北财经高等专科学校学报Issue(1)：58-61,4.
沪市主要板块指数市场波动实证分析
Empirical Analysis of Volatility of Index in Shanghai Stock Market
余国锐 1季晓莉1
作者信息
- 1. 云南师范大学数学学院,云南昆明650092
- 折叠
摘要
Abstract
GARCH-M model has been used in the field where the expected return and the expected risk were closely related.According to the theory of finance,the greater the risk of financial stocks,the more the benefits.So we know the returns of stock index change dependent on a constant.Using GARCH-M model and the EGARCH-M model to make empirical analysis to major plates index in Shanghai stock market,the results show that the Shanghai important plate index existence asymmetry effects of information,and high risk investment corresponding to high returns.关键词
指数收益率/EGARCH-M模型/非对称效应Key words
Index Return/EGARCH-M Model/Asymmetric Effect分类
管理科学引用本文复制引用
余国锐,季晓莉..沪市主要板块指数市场波动实证分析[J].湖北财经高等专科学校学报,2012,(1):58-61,4.
