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在TGARCH模型中引入哑变量以同时反映条件方差波动的不对称性和星期特征,并运用其对沪深股指波动特征进行了实证分析.结果表明沪深股指波动存在着明显的杠杆效应和星期效应.
Dummy variables are introduced into the TGARCH model to reflect the asymmetry of the variance of the conditional variance and the characteristics of the week at the same time, and the empirical analysis of the volatility of the Shanghai and Shenzhen stock indices is conducted. The results show that the volatility of the Shanghai and Shenzhen stock indices have obvious leverage effect and the week effect .