基于3σ准则的分段拟合及其GARCH修正模型
    点此下载全文
引用本文:林 静,唐国强,覃良文.基于3σ准则的分段拟合及其GARCH修正模型[J].经济数学,2016,(3):26-32
摘要点击次数: 647
全文下载次数: 33
作者单位
林 静,唐国强,覃良文 (桂林理工大学 理学院广西 桂林 541006) 
中文摘要:在金融时间序列中,一组金融序列可被视为由不同时间段的分段函数拟合连接而成.利用3σ准则确定分段函数的临界点,并根据AIC准则及调整后R2对分段点进行验证,从而分段点把数据分割成两部分.对两序列分别用合适的函数进行拟合,并用ARMA-GARCH模型对残差序列进行修正.由上证综合指数数据的实证分析结果表明:3σ准则能很好地检索出临界点,同时建立的分段函数模型预测效果要优于ARMA与EGARCH模型,以及ARMA-GARCH模型的引入对模型的精确度有所提高.所介绍的方法简单易懂、便于操作、精度高,为金融投资者和学者提供参考价值.
中文关键词:应用统计数学  分段拟合  拉依达准则  GARCH模型  临界点
 
Piecewise Fitting based on 3σ Guidelines and its Garch Remaining Modified model
Abstract:In the financial time series, a group of financial sequence can be used as a function, in which piecewise fitting connection is made in different time periods. The Pauta criterion was exploited to determine the critical point of piecewise functions, according to AIC guidelines and coefficient of determination after adjustment to test breaking point, thus the staging point split the data into two parts. Two sequences were fitted with the appropriate function, and ARMA-GARCH model was used to amend the residual sequence. The empirical results of Shanghai composite index show that the 3 σ guidelines can retrieve critical point commendably. At the same time, the forecasting efficiency of piecewise function model is better than ARMA model and EGARCH model. Also, the precision of the model is improved by the introduction of ARMA-GARCH model. Moreover, the method is simple, easy to understand and operate, and accurate, which provides reference value for financial investors and scholars.
keywords:Application of statistical  Sub-fitting  Pauta criterion  GARCH model  Critical point
查看全文   查看/发表评论   下载pdf阅读器