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.

关键词： Volatility ARCH time series

作者: ZHANG Bo YIN Zhongmin

作者单位: Faculty of Business Administration,Xian University of Technology,P. R. China

会议类型: 国际会议

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

会议地点: 郑州

会议语种:英文

页码: 462-465

在线出版日期: 2009-04-17（万方平台首次上网日期，不代表论文的发表时间）