Research on time series model of the stock price index in China
Yong Huang · 2002
Based on the practical datas of close Shanghai comprehensive index and c lose Shenzhen component index of china' s stock market,Through running the S AS /ETS software and making use of the R /S method suggested by H.E Hurst,It' s proved that the stock price index se ries of China' s stock market is the persistance ran dom process and set up respectively the AR(m)-EGARCH(p,q )model for Shanghai and Shenzhen stock market.At last,It' s pointed out,in regard to China' s securities market at present,it is more suitable for describing the non linear fluctuation of the stock price index of Shanghai and Shenzhen stock market to make use of the AR -GARCH model than the adoption of the ARMA model.