【摘 要】
：
应用MF-DFA方法对上海综合指数收益率和深圳成分指数收益率进行多重分形分析.结果表明:上证综指收益率和深成指收益率均具有多重分形特征,均存在长程相关性和胖尾分布;深成
【机 构】
：
西南交通大学经济管理学院 四川成都610031 郑州大学商学院河南郑州450052
论文部分内容阅读
应用MF-DFA方法对上海综合指数收益率和深圳成分指数收益率进行多重分形分析.结果表明:上证综指收益率和深成指收益率均具有多重分形特征,均存在长程相关性和胖尾分布;深成指收益率序列的相关性程度高于上证综指收益率序列的相关性程度,从而上证综指收益率的波动性大于深成指收益率的波动性.
The MF-DFA method is used to analyze the returns of Shanghai Composite Index and Shenzhen Component Index by multi-fractal analysis.The results show that both the SSE yield and the Shenzhen Component Index have multifractal characteristics, both of them have long-term correlation and fat tail Distribution; Shen Chengzhi yield series higher correlation degree than the Shanghai Stock Exchange rate series correlation degree, so the volatility of the Shanghai Composite Index return rate greater than the volatility of Shenzhen Component Index rate of return.
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