成都纺织高等专科学校学报2012，Vol.29Issue(3)：14-16,3.
GARCH模型的残差分布比较研究及实证分析
Comparative Study and Empirical Analysis of Residual Distribution of GARCH Model
王长辉1
作者信息
- 1. 成都纺织高等专科学校,四川成都611731 四川大学数学学院,四川成都610064
- 折叠
摘要
Abstract
GARCH models were comparatively studied based on three different distribution assumptions such as Normal distribution, Student T - distribution and GED distribution and empirical analysis was conduc- ted for the return rate of HS300 stock index. The result showed that the GARCH model with GED distribution more accurately reflected the fat - tailness of the return rate of HS 300 and the volatility of Shanghai and Shenzhen stock markets.关键词
GARCH模型/正态分布/学生t分布/GED分布/波动群聚性Key words
GARCH model/Normal distribution/Student T - distribution/GED distribution/volatility clustering分类
管理科学引用本文复制引用
王长辉..GARCH模型的残差分布比较研究及实证分析[J].成都纺织高等专科学校学报,2012,29(3):14-16,3.
