【作者】 傅冬绵； 黄赜琳；

【Author】 FU Dong-mian, HUANG Ze-lin ( Dept. of Management Information Science, Huaqiao University, Quanzhou 362011, China; Dept. of Business Administration, Huaqiao University, Quanzhou 362011, China)

【机构】 华侨大学管理信息系； 华侨大学工商管理系；

【摘要】 文章利用深圳证券市场的股价指数信息,建立股票收益的GARCH模型,并对该模型的参数、阶数进行估计,分析了股票收益的变化趋势。作为该结果的应用,可以对短期股票收益的变化规律进行预测,对证券市场的投资和管理提供有益的信息及帮助。更多还原

【Abstract】 In this paper, a GARCH model of stock yield is set up based on the information of the share index in Shenzhen Securities Business. Based on the estimate of the parameters and orders in this GARCH model, the changing trend of stock yield is analyzed. As an application of the result herein, some changing tendencies can be predicted for the short term stock yield in securities business.更多还原