GARCH-stable as a model of futures price movements
GARCH-stable as a model of futures price movements
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GARCH-作为期货价格变动模型的稳定
DOI：
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发表时间：
1995
期刊：
影响因子：
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通讯作者：
B. Brorsen
中科院分区：
文献类型：
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作者：
Shi;B. Brorsen
garch稳定过程作为每日期货价格分布的模型进行了测试。garch稳定过程不能作为所考虑的37个价格序列中的12个的模型而被拒绝。将稳定分布作为期货价格模型的证据并不像过去的一些研究表明的那样不利。对garch稳定模型的其余拒绝可能是由于稳定分布假设的不适当或其他因素，例如忽略了星期影响和价格限制。
A GARCH-stable process is tested as a model of the distribution of daily futures prices. The GARCH-stable process cannot be rejected as a model of 12 of the 37 price series considered. The evidence regarding stable distributions as a model of futures prices is not as unfavorable as suggested by some past research. The remaining rejections of the GARCH-stable model could be due to the inappropriateness of the stable distribution assumption or to other factors such as ignoring day-of-the-week effects and price limits.