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本文应用ARCH类模型对1990～2006年的上证综指收益率序列进行分析,对t分布和正态分布下的ARCH类模型结果进行对比,发现不同的分布具有不同的结果,选择恰当的残差分布类型是正确使用ARCH类模型的前提。
In this paper, we use ARCH model to analyze the sequence of returns of Shanghai Stock Exchange from 1990 to 2006, and compare the results of ARCH model with t distribution and normal distribution. It is found that different distributions have different results and the appropriate residuals The distribution type is a prerequisite for proper use of the ARCH class model.