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本文运用GARCH模型对上证180指数收益率的波动性进行研究,分析了其收益率的分布特征和波动性的特点,表明上海股票市场的收益率有明显的GARCH效应。
This paper uses GARCH model to study the volatility of the SSE 180 index’s return rate, analyzes its distribution characteristics and volatility characteristics, and shows that the Shanghai stock market has obvious GARCH effect.