基于改进GARCH族模型对股市波动率的实证分析
Empirical Analysis of the Volatility of Stock Market Based on the Improved GARCH Model
摘要: 针对传统的GARCH族模型难以准确地刻画国内股票市场的股价波动率这一实际问题，本文首先在原有的GARCH族模型基础上加以改进，将股市中的日成交金额这一因素加入模型中，得到了改进后的GARCH族模型。然后利用新的模型对沪深股市进行实证分析，并对未来股市的波动做出预测，得到了比原模型更好的结果。
Abstract: In view of the fact that the traditional GARCH family model is difficult to describe the stock price volatility of the domestic stock market accurately, in this paper, we firstly improve the original GARCH family model by adding the daily transaction amount in the stock market into the model. Then we use the new model to analyze the stock market of Shanghai and Shenzhen. We also predict the future stock market volatility and finally get better results than the original model.
文章引用：祝人杰, 刘媛媛. 基于改进GARCH族模型对股市波动率的实证分析[J]. 应用数学进展, 2020, 9(2): 142-152. https://doi.org/10.12677/AAM.2020.92017

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