统计研究 ›› 2006, Vol. 23 ›› Issue (8): 52-56.

• 论文 • 上一篇    下一篇

基于信息传播的混合GARCH模型

赵国庆;魏军   

  1. 中国人民大学
  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2006-08-15 发布日期:2006-08-15

  • Received:1900-01-01 Revised:1900-01-01 Online:2006-08-15 Published:2006-08-15

Abstract: Abstract:This paper concerns with the efficiency of speculative market to incorporate new information into price. The GARCH( 1,1 ) model is modified to capture the effect of information disseminating speed on the conditional volatility of stock index returns. Different empirical results are presented when this model applied to Shanghai and New York stock markets. We also explain empirical results according to the difference between two markets' microstructures