基于GED-GARCH模型的沪æ

基于GED-GARCH模型的沪æ

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Unformatted text preview: 1 4397 GED-GARCH wangjipei,wangcongying ARCH GED GARCH , GED GARCH F064.1 A A study of the yield volatility of Shanghai and Shenzhen Fund Markets based on the GED-GARCH model Abstract: This paper compares the assumption that the distribution of different ethnic ARCH models and finds that the GARCH model based on the distribution of GED can be used to explain better the peak and thick tail feature of the yield series distribution . On the basis ,it analyses the daily yield series of China's fund market,and does some research on the volatility of the yield series,trying to present a reasonable explanation on the distribution of the fund market price. Key words: Volatility GED GARCH Leverage 1998327 A27% 23%(2004) (2005)ARCH GARCH(11) Bollerslev k tGARCH k 4< k < k Nelson(GED)...
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This note was uploaded on 10/10/2011 for the course ECON 3250 taught by Professor Wan during the Spring '11 term at Hong Kong Baptist University, China.

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基于GED-GARCH模型的沪æ

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