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-MIDAS (rAVGRV) |
GARCH-MIDAS (rAVGRV + MCI) |
GARCH-MIDAS (rAVGRV + IVA) |
GARCH-MIDAS (rAVGRV + M2) |
GARCH-MIDAS (rAVGRV + DFI) |
GARCH-MIDAS (rAVGRV + CEPU) |
|
| 5 |
1.789 |
1.880 |
1.822 |
1.900 |
1.873 |
1.815 |
| 10 |
1.585 |
1.662 |
1.718 |
1.826 |
1.800 |
1.770 |
| 15 |
1.330 |
1.465 |
1.604 |
1.684 |
1.612 |
1.592 |
| 20. |
1.112 |
1.340 |
1.482 |
1.526 |
1.493 |
1.391 |
|
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