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ThispaperstudiestheperformanceoftheGARCHmodelandtwoofitsnon linear modificationstoforecastChina’sweeklystockmarketvolatility .Themodelsarethe QuadraticGARCHandtheGlosten ,JagannathanandRunklemodelswhichhavepro posedtodescribetheoftenobservednegativeskewnessinstockmarketindices.Wefind thattheQGARCHmodelisbestwhentheestimationsampledoesnotcontainextreme observationssuchasthestockmarketcrashandthattheGJRmodelcannotberecom mendedforforecasting .
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基本信息:
DOI：10.19343/j.cnki.11-1302/c.2000.01.010
中图分类号:F224.0
引用信息:
[1]刘国旗.非线性GARCH模型在中国股市波动预测中的应用研究[J].统计研究,2000(01):49-52.DOI:10.19343/j.cnki.11-1302/c.2000.01.010.
2000-01-15
2000-01-15