青岛大学学报（自然科学版）2012，Vol.25Issue(4)：91-94,4.DOI:10.3969/j.issn.1006-1037.2012.11.21
基于EGARCH模型的商业银行股票波动分析
Stock Fluctuation Analysis of Commercial Banks Based on EGARCH Model
张志芹 1姜伟 1杨春鹏2
作者信息
- 1. 青岛大学经济学院,山东青岛266071
- 2. 华南理工大学,广州510006
- 折叠
摘要
Abstract
By using GARCH and EGARCH models, the stock fluctuation of commercial banks in China is anayzed. Comparing with Shanghai Stock Exchange Composite index, results show that the stocks of China's commercial banks have high volatilities, and their yield sequences are heteroscedastic, and the fluctuations of their yields are persistent and asymmetric.关键词
商业银行股票/EGARCH/波动/持续性Key words
Stocks of commercial banks/EGARCH/Fluctuation/Persistent分类
管理科学引用本文复制引用
张志芹,姜伟,杨春鹏..基于EGARCH模型的商业银行股票波动分析[J].青岛大学学报（自然科学版）,2012,25(4):91-94,4.
