统计研究 ›› 2003, Vol. 20 ›› Issue (11): 60-3.

• 论文 • 上一篇    下一篇

中国证券市场的ACD-GARCH模型及其应用

陈敏;王国明; 吴国富; 蒋学雷   

  1. 中科院数学与系统科学研究院;国家统计局
  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2003-11-15 发布日期:2003-11-15

  • Received:1900-01-01 Revised:1900-01-01 Online:2003-11-15 Published:2003-11-15

Abstract: This paper uses a new statistical model (ACD-GARCH) to analysis the high-frequency data which arrive at irregular intervals in China stock market. We use the ACD-GARCH model to analysis the relation among the transactions duration and the returns and variances for the index of Shanghai and Shenzhen stock market.