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Empirical Study on Shanghai Stock Market with ARCH Class Models

机译:拱级型号上海股市实证研究

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This paper first makes ARCH-LM test on Shanghai stock market yield series on the basis of its elementary statistical properties and concludes that the series has ARCH effect; then we match volatility of Shanghai stock market yield series with GARCH(1,1),EGARCH(1,1) and GARCH(1,1)-M respectively and the results demonstrates that EGARCH(1,1) is the best; simultaneously this paper explains why jump and slump happens in China stock market these two years.
机译:本文首先在其基本统计特性的基础上对上海股票市场收益系列进行拱门测试,并得出结论,该系列有拱效;然后我们将上海股票市场产量系列与加荷(1,1),肉质(1,1)和GARCH(1,1)-M相匹配,结果表明,EGARCH(1,1)是最好的;同时,本文解释了为什么这两年在中国股票市场中跳跃和衰退。

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