| 中国股票市场科技股价格波动的统计分析 |
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| 引用本文： | 柳松.中国股票市场科技股价格波动的统计分析[J].邵阳学院学报(社会科学版),2003,2(6):47-49. |
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| 作者姓名： | 柳松 |
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| 作者单位： | 中南财经政法大学,湖北,武汉,430060 |
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| 摘 要： | 科技股的价格波动是金融理论界和实务界的关注热点之一。文章将协整模型与ARCH模型和GARCH模型相结合，探讨了科技股板块的价格波动特征；进而采用脉冲响应函数和方差分解法研究了科技股指数波动和市场指数波动的相互冲击效应和相互影响程度。
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| 关 键 词： | 中国 股票市场 价格波动 科技股指数 协整模型 ARCH模型 脉冲响应函数 |
| 文章编号： | 1672-1012(2003)06-0047-03 |
| 修稿时间： | 2003年2月17日 |
On Statistical Analysis of the Price Fluctuation of Scientific Shares in Chinese Stock Market |
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| LIU Song.On Statistical Analysis of the Price Fluctuation of Scientific Shares in Chinese Stock Market[J].Journal of Shaoyang University:Social Science,2003,2(6):47-49. |
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| Authors: | LIU Song |
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| Abstract: | The price fluctuation of scientific shares is one of attentive hotspots in the financial theory and business fields .The thesis probes the characteristics of price fluctuation about the plate of scientific shares through combining Co-integration model with ARCH and GARCH model, and also studies the mutual pulse effect and impact degree which are brought by the fluctuation of scientific shares index and market index with pulse response function and variance decomposition . |
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| Keywords: | scientific shares index price fluctuation Co-integration model and ARCH model pulse response function |
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