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本文从沪深股市的随机游走检验入手,研究我国股票市场的非线性特性,先后采用AR线性滤波和GARCH族滤波,应用BDS检验来区别我国股市的非线性特征,结合最大李雅普诺夫指数以及沪深指数的HURST指数,研究表明我国股票市场存在着混沌特性。
This paper starts from the random walk test in Shanghai and Shenzhen Stock Exchange to study the nonlinear characteristics of China’s stock market. It uses AR linear filter and GARCH filter successively, and uses BDS test to distinguish the nonlinear characteristics of China’s stock market. Combined with the maximum Lyapunov index and The HURST index of Shanghai and Shenzhen stock indices shows that there is a chaotic characteristic in China’s stock market.