To describe financial market volatility, the paper focuses on some mathematical models, including ARCH and GARCH models.
对刻画金融市场波动的相关模型进行描述,主要包括ARCH、GARCH类模型。
This paper simulates the volatility of Shanghai stock index by ARCH Models and the result shows that GARCH (1, 1) model is effective in the simulation of the volatility of Shanghai stock index.
利用ARCH类模型对上证指数的波动进行了拟合,结果表明GARCH(1,1)模型对上证指数波动具有较好的拟合效果。
This paper simulates the volatility of Shanghai stock index by ARCH Models and the result shows that GARCH (1, 1) model is effective in the simulation of the volatility of Shanghai stock index.
利用ARCH类模型对上证指数的波动进行了拟合,结果表明GARCH(1,1)模型对上证指数波动具有较好的拟合效果。
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