【摘要】 以沪深300指数的一分钟为间隔的实时价格为研究样本,利用ARMA模型和基于T分布的GARCH(1,1)模型,对其收益率进行了拟合和预测,同时运用GARCH-M模型,分析风险和收益之间的关系。研究表明,股指波动存在条件异方差性;ARMA模型长期预测效果较好,而GARCH(1,1)-T模型短期预测效果较好;沪深300指数的风险和收益不呈正比,说明我国股市发展不成熟。更多还原

【Abstract】 By using the high-frequency data of the CSI 300 index,ARMA model and GARCH(1,1)-T model are applied to fit and forecast the rate of return.In addition,GARCH-M model is selected to measure the relationship between risk and return.Experimental results show that the change of return rate has the feature with conditional heteroskedasticity;ARMA model is suitable for the long term prediction and GARCH(1,1)-T model is suitable for the short term prediction;As risk and return don’t present positive relationship,our stock market isn’t ripe.更多还原