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近几年,我国的金融市场经历了诸如股权分置改革、人民币汇率制度改革和次贷危机等一系列重大金融事件。本文对上海综合指数和深圳成份指数日收盘价的对数值进行统计描述的基础上建立ARCH族等随机模型对股指波动性进行研究,得出上海综合指数和深证成份指数的总体特征。
In recent years, China’s financial market has experienced a series of major financial incidents such as the reform of non-tradable shares, the reform of the RMB exchange rate system and the subprime mortgage crisis. Based on the statistical description of the logarithm of the daily closing price of Shanghai Composite Index and Shenzhen Component Index, this paper establishes the ARCH family and other stochastic models to study the volatility of stock index, and obtains the general characteristics of Shanghai Composite Index and Shenzhen Component Index.