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利用实际波动率衡量标准和损失函数评价指标对GARCH类模型的波动率进行模拟并对中国市场的预测效果进行了实证研究,得出:1)在模拟期,EGARCH模型的模拟效果相对最优;2)在预测期,没有一个模型的预测效果表现相对出色;3)以实际波动率为标准,模拟和预测效果均显得不足,预测效果更是不容乐观.
Using the real volatility measure and the loss function evaluation index to simulate the volatility of the GARCH model and empirical research on the forecasting effect of the Chinese market, we get: 1) In the simulation period, the simulation results of EGARCH model are relatively optimal; 2) In the forecast period, none of the models have a relatively good forecasting performance. 3) Based on the actual volatility, both the simulation and the forecasting effect are insufficient, and the forecasting effect is even less optimistic.