上證指數(shù)的交易周的日效應(yīng)檢驗(yàn)及其非線性動(dòng)態(tài)結(jié)構(gòu)分析.pdf

1、武漢科技大學(xué)碩士學(xué)位論文上證指數(shù)的交易周的日效應(yīng)檢驗(yàn)及其非線性動(dòng)態(tài)結(jié)構(gòu)分析姓名：王鴻燕申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：應(yīng)用數(shù)學(xué)指導(dǎo)教師：余東20061026第1l頁武漢科技大學(xué)碩士學(xué)位論文AbstractBecausethehypothesiseabouttheindependenthomoscedasticityinthetraditionallinearregressionmodelisnotsuitablefordescribingthe

2、priceandtheincomebehaviorinthefinancialmarket，manystatisticiansandthemetrologistsstarttoattempttodescribeallkindsoffinancialmarketactivitieswellwiththeimprovementmethods，RobertEngelanUSeconomistwhojstheNobeleconomicprize

3、winnerin2003proposedAutoRegressiveConditionalHeteoskedastic(ARCH)modelin1982，BollerslevproposedGeneralizedRegressiveConditionalHeteoskedastic(GARCH)modelin19861Hereafter，someexpansiveARCHmodelswerealsoproposed，formedtheg

4、roupofARCHmodelsBecausethesemodelscanreflectthefeatureofthefinancialmarketwell，theyhavebeenwidelyappliedinthetimeseriesanalysisonfinancialdataBasedonthefundamentaltheoryofmultivariatestatisticalanalysis，employingthegroup

5、ofARCHmodels，wediscussedthenon—linearstructureoftheShanghaistockexchangeindexbyexaminingtheShanghaistockexchangeindexfrom1996to2005FinallywegetthebestmodelbystudyingthestandardizedresidualserieswithBDStestandcomparingthe

6、RMSEofthemodelsOntheotherhand，withthethedayoftheweekeffectoftheShahghaistockexchangeindexwhichwerestudiedbymanyscholarsinrecentdecades，weusesimplemultivariatestatisticalmethodsthatisinvestigatewhetherthereisthethe—dayoft

7、heweekeffectandwhetheritjsstationarybyestablishingregressionmodelandusingWaldtestThatiscontrtbutetoexploretheslatisticalregularryofthestockmarketofChinaandmakeitstandardKeyWords：theShanghaistockexchangeindex；theday—ofthe