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This paper selects the Shanghai Composite Index closing data on April 2, 2010 April 2012 26. The moving average model and the exponentially weighted moving average model and garch (1,1) model fitting, the optimal garch (1,1) model. Select garch egarch garch-m, igarch four models. To calculate the op

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Select the index this data the market close on April 2, 2010 to April 26, 2012. Using the moving average model and exponentially weighted moving average model and GARCH (1,1) model fitting, given optimal GARCH (1,1) model. Then select GARCH,EGARCH,GARCH-M,IGARCH four models. Calculation of optimal p

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This article selects the card index on April 2, 2010 to April 26, 2012 closing data.The use migration average model and the index weighting migration average model and GARCH(1,1) model fitting, obtains superiorly is GARCH(1,1) model.Again chooses the GARCH, EGARCH, GARCH-M, IGARCH four models.Calcul
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a本文选取上证指数2010年4月2日到2012年4月26日的收盘数据。使用移动平均模型和指数加权移动平均模型和GARCH(1,1)模型拟合,得到最优的是GARCH(1,1)模型。再选择GARCH,EGARCH,GARCH-M,IGARCH四个模型。计算最优的p,q值,我们根据AIC准则我们选择出四个在各自模型中拟合的最好的模型,GARCH—(3,3),EGARCH(1,3),IGARCH(2,2),GARCH-M(3,3)。我们对于这些模型采用四种参数检验:AIC,AICC,SBC,MAE。得到最好的是GARCH-M(3,3)模型。 This article selects the card index on April 2, 2010 to April 26, 2012 closing data.The use migration average model and the index weighting migration average model and GARCH(1,1) model fitting, obtains superiorly is GARCH(1,1) model.Again chooses the GARCH, EGARCH, GARCH-M, IGARCH four models.Calcul [translate]