| 指数 |
模型 |
|
|
|
|
|
AIC |
| 上证指数 |
GARCH |
0.0000007 |
0.0633 |
0.932 |
|
|
−6.647 |
| 改进GARCH |
0.00002 |
0.118 |
0.595 |
|
0.000175 |
−6.773 |
|
| T-GARCH |
0.000000705 |
0.0616 |
0.933 |
0.00276 |
|
−6.644 |
|
| 改进T-GARCH |
0.0000223 |
0.00609 |
0.586 |
0.171 |
0.000194 |
−6.788 |
|
| 深证成指 |
GARCH |
0.0000037 |
0.0141 |
0.946 |
|
|
−6.239 |
| 改进GARCH |
0.0000345 |
0.146 |
0.506 |
|
0.000273 |
−6.427 |
|
| T-GARCH |
0.00000303 |
-0.042 |
0.969 |
0.0673 |
|
−6.255 |
|
| 改进T-GARCH |
0.0000365 |
-0.00828 |
0.478 |
0.326 |
0.000304 |
−6.464 |