会议专题

The Appraisal Method for Securities Market Volatility

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.

Volatility ARCH time series

ZHANG Bo YIN Zhongmin

Faculty of Business Administration,Xian University of Technology,P. R. China

国际会议

Zhengzhou Conference Conference on Management of Technology(2009郑州技术管理研讨会 MOT2009)

郑州

英文

462-465

2009-04-17(万方平台首次上网日期,不代表论文的发表时间)