In order to study the impact of warrants listing on the volatility of the underlying stocks, I use the EGARCH model introducing a dummy variables to estimate it.
本文将通过EGARCH模型研究权证上市前后标的股票波动性的变化，据此探讨权证上市给标的股票波动性带来何种影响。
To solve the higher peak and fat tail phenomenon, immediate memory and asymmetric features, this paper formulate the volatility model of exchange rate returns using the ARFIMA-EGARCH-M model.
为了解决汇率收益率波动中的“尖峰厚尾”、中期记忆和非对称特征，提出了利用ARFIMA - EGARCH - M模型建立汇率收益率波动模型。
The results indicated that in these two types of models, the EGARCH-M model and the leverage stochastic volatility model had better fitting results.
拟合结果表明，在两类模型中egarch - M模型和杠杆随机波动模型具有较好的拟合效果。
The results show that EGARCH is the best model for forecasting long-term volatility. Furthermore, using EGARCH with the Student t-distribution gives better results than with a normal distribution.
实证分析结果表明：EGARCH模型比较适合对我国股票市场波动性作长期预测，若假设收益序列服从t分布，由此改进的EGARCH-T模型会得到比正态分布下更好的拟合与预测效果。
The results show that EGARCH is the best model for forecasting long-term volatility. Furthermore, using EGARCH with the Student t-distribution gives better results than with a normal distribution.
实证分析结果表明：EGARCH模型比较适合对我国股票市场波动性作长期预测，若假设收益序列服从t分布，由此改进的EGARCH-T模型会得到比正态分布下更好的拟合与预测效果。
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