摘要采用了新信息过程服从广义误差分布(Generalized Error D istribution)的ARMA-EGARCH-M模型对中国沪深两市的波动情况进行了分析研究,以捕捉沪深两市股指收益率分布的尖峰厚尾性、波动集群性以及非对称性,实证研究表明,相对新信息过程服从正态分布的GARCH类模型,广义误差分布的
Abstract:This article analyses the volatility of China’s stock market using ARMA-EGARCHM model based on GED(Generalized Error Distribution) assumption to get the characteristics of leptokurtosis,fat-tail,volatility clustering and asymmetric,the empirical result s