本文關鍵詞： 時間序列 ARCH模型 GARCH模型 股票市場　出處：《蘇州大學》2013年碩士論文　論文類型：學位論文

【摘要】：時間序列模型對經(jīng)濟過程的描述和預測是經(jīng)濟領域中一個非常重要的方法。在現(xiàn)代金融領域，對金融市場價格不確定性的研究已成為一大熱點。然而，在實際應用中，由于金融經(jīng)濟領域數(shù)據(jù)本身的特殊性，，傳統(tǒng)的模型已經(jīng)不能對其作出準確地分析和判斷。恩格爾在1982年提出的自回歸異方差模型(ARCH)以及該模型的拓展能定量地反映各種經(jīng)濟和金融行為中出現(xiàn)的方差變化的特點，因而ARCH族模型受到了人們的廣泛重視。 本文系統(tǒng)的介紹了ARCH模型、GARCH模型的相關理論知識，分析了模型的特征，闡述了ARCH模型的建立和檢驗，探討了模型的最大似然估計的方法。在文章的最后，本文采用ARCH模型族對股市的時間序列進行研究，建立了合理的ARCH模型，并作出短期預測。通過模型的建立、計算和分析，證實了ARCH模型族的實用性和適用性。
[Abstract]:The description and prediction of economic process by time series model is a very important method in the field of economy. In the field of modern finance, the research on price uncertainty of financial market has become a hot spot. In practical application, because of the particularity of the data in the field of financial economy. The traditional model can no longer be accurately analyzed and judged. Engel's autoregressive heteroscedasticity model proposed by Engel in 1982. And the expansion of the model can quantitatively reflect the characteristics of variance changes in various economic and financial behaviors. Therefore, the ARCH family model has been paid more and more attention. This paper systematically introduces the theoretical knowledge of ARCH model, analyzes the characteristics of the model, and expounds the establishment and test of ARCH model. At the end of this paper, the ARCH model family is used to study the time series of stock market, and a reasonable ARCH model is established. Through the establishment, calculation and analysis of the model, the practicability and applicability of the ARCH model family are verified.
【學位授予單位】：蘇州大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F224;F830.91

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本文編號：1490224