%0 Journal Article
%T Heteroskedastic Volatility Models in Chinese Stock Market and Their SPA Test<br>中国股市波动的异方差模型及其SPA检验
%A WEI Yu
%A <br>魏宇
%J 系统工程理论与实践
%D 2007
%I 
%X One high-frequency dataset of the most important stock index in Chinese stock market is used to calculate the volatility forecasts based on different heteroskedastic volatility models,such as GARCH models and stochastic volatility model.We compare the forecasting performance of different kinds of volatility models using SPA test.The empirical results show that,stochastic volatility model is the best models for volatility forecasts in Chinese stock market.However,under some kinds of loss functions,EGARCH model also performance quite well.
%K heteroskedasticity
%K realized volatility
%K GARCH models
%K stochastic volatility model
%K SPA test<br>异方差
%K 实现波动率
%K GARCH模型
%K 随机波动模型
%K SPA检验
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=AC5B32A76D89129C&yid=A732AF04DDA03BB3&vid=DB817633AA4F79B9&iid=B31275AF3241DB2D&sid=DB817633AA4F79B9&eid=6209D9E8050195F5&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=15