用EGARCH-SGED预测股市波动率
首发时间:2011-03-04
摘要:本文用正态分布下的指数GARCH(EGARCH-N)模型和有偏的广义误差分布(SGED)下的指数GARCH(EGARCH-SGED)模型,研究了收益分布是如何影响波动率的预测的。通过比较得出结论,EGARCH-SGED模型在预测中国股市波动率上比EGARCH-N模型更精确。同时用DM检验进一步验证了这个结论。
关键词: EGARCH模型 有偏广义误差分布(SGED) DM检验
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Use EGARCH-SGED to forecast stock market volatility
Abstract:In this paper, the index under normal GARCH (EGARCH-N) model and the generalized error distribution-biased (SGED) Exponential GARCH (EGARCH-SGED) model to study how it affects yield distribution is predicted volatility . The test result shows, EGARCH-SGED model for prediction of China's stock market volatility than the EGARCH-N model is more accurate. At the same time with the DM test further validates this conclusion.
Keywords: EGARCH model SGED DM test
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