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 |