The Appraisal Method for Securities Market Volatility

摘要

Establishing ARMA-EGARCH-M model by joint ARMA model with ARCH group models to study securities mar ket volatility appraisal method. By examination of measuring indices for forecasting error based on mass sample,it’s concluded in the paper that ARMA-EGARCH-M model surpasses ARCH group models on Shanghai secur ities market volatility fitting.