ARMA-EGARCH模型构建与实证研究

2009 IEEE International Conference on Grey Systems and Intelligent Services (GSIS 2009) Pub Date : 2009-11-01 DOI:10.1109/GSIS.2009.5408171

Bo Zhang, Zhong-min Yin

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摘要

本文将ARMA模型与ARCH群模型相结合，建立了ARMA- egarch - m模型来研究证券市场波动率的评估。基于质量样本预测误差度量指标检验的结果表明，ARMA-EGARCH-M模型在上海证券市场波动拟合上优于ARCH群模型。为解决波动的集聚性和延续性，建议在市场上建立卖空交易机制。

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Model construction and empirical study of ARMA-EGARCH

This paper establishes an ARMA-EGARCH-M model by combining ARMA model with ARCH group models to study securities market volatility appraisal. The results based on examination of measuring indices for forecasting error using mass samples indicate that ARMA-EGARCH-M model surpasses ARCH group models on Shanghai securities market volatility fitting. To solve the fluctuation cluster and continuance, it's suggested to establish a short sales trading mechanism in the market.

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2009 IEEE International Conference on Grey Systems and Intelligent Services (GSIS 2009)

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