研究文章
基于GARCH-MIDAS股市波动影响因素的分析模型
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|
|
GARCH |
GARCH-MIDAS (RV) |
GARCH-MIDAS (RV + MCI) |
GARCH-MIDAS (RV + IVA) |
GARCH-MIDAS (RV + M2) |
GARCH-MIDAS (RV + DFI) |
GARCH-MIDAS (RV + CEPU) |
|
| 5 |
1.545 |
1.670 |
1.801 |
1.790 |
1.840 |
1.805 |
1.796 |
| 10 |
1.329 |
1.503 |
1.664 |
1.595 |
1.699 |
1.686 |
1.599 |
| 15 |
1.260 |
1.332 |
1.493 |
1.320 |
1.582 |
1.480 |
1.436 |
| 20. |
1.065 |
1.252 |
1.325 |
1.295 |
1.399 |
1.373 |
1.311 |
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