交易所

检验结果

北京

ARMA(2,4)- EGARCH(2,1)

均值方程

$\begin{array}{c}{R}_t=0.004+1.0041R_{t-1}-0.4094R_{t-2}+{\epsilon }_t-1.1781{\epsilon }_{t-1}+0.5175{\epsilon }_{t-2}\\ +0.0510{\epsilon }_{t-3}-0.1586{\epsilon }_{t-4}\end{array}$

方差方程

$\ln \left({\sigma }_t^2\right)=-0.1708+0.7104\left|\frac{{\epsilon }_{t-1}}{{\sigma }_{t-1}}\right|+-0.4181\left|\frac{{\epsilon }_{t-2}}{{\sigma }_{t-2}}\right|+0.0134\frac{{\epsilon }_{t=i}}{{\sigma }_{t-i}}+0.9617\ln \left({\sigma }_{t-1}^2\right)$

重庆

ARMA(4,2)- EGARCH(2,1)

均值方程

$\begin{array}{c}{R}_t=-0.0006-1.1939R_{t-1}-0.4220R_{t-2}+0.2558R_{t-3}+0.2004R_{t-4}+{\epsilon }_t\\ +1.3051{\epsilon }_{t-1}+0.6099{\epsilon }_{t-2}\end{array}$

方差方程

$\ln \left({\sigma }_t^2\right)=-0.4336+0.4084\left|\frac{{\epsilon }_{t-1}}{{\sigma }_{t-1}}\right|-0.1551\left|\frac{{\epsilon }_{t-2}}{{\sigma }_{t-2}}\right|-0.0174\frac{{\epsilon }_{t=i}}{{\sigma }_{t-i}}+0.8840\ln \left({\sigma }_{t-1}^2\right)$

广东

ARMA(4,4)- EGARCH(2,1)

均值方程

$\begin{array}{c}{R}_t=0.0002-0.0788R_{t-1}-0.1724R_{t-2}-0.0696R_{t-3}+0.8159R_{t-4}+{\epsilon }_t\\ +0.0090{\epsilon }_{t-1}+0.1439{\epsilon }_{t-2}+0.0192{\epsilon }_{t-3}-0.8557{\epsilon }_{t-4}\end{array}$

方差方程

$\ln \left({\sigma }_t^2\right)=-0.1341+0.5856\left|\frac{{\epsilon }_{t-1}}{{\sigma }_{t-1}}\right|-0.2784\left|\frac{{\epsilon }_{t-2}}{{\sigma }_{t-2}}\right|+0.0367\frac{{\epsilon }_{t=i}}{{\sigma }_{t-i}}+0.9783\ln \left({\sigma }_{t-1}^2\right)$

湖北

ARMA(4,4)- EGARCH(2,2)

均值方程

$\begin{array}{c}{R}_t=0.0003+1.1797R_{t-1}-0.0254R_{t-2}-0.6155R_{t-3}+0.2348R_{t-4}+{\epsilon }_t\\ -1.3734{\epsilon }_{t-1}+0.2361{\epsilon }_{t-2}+0.6465{\epsilon }_{t-3}-0.3668{\epsilon }_{t-4}\end{array}$

方差方程

$\begin{array}{c}\ln \left({\sigma }_t^2\right)=-1.5864+0.7123\left|\frac{{\epsilon }_{t-1}}{{\sigma }_{t-1}}\right|-0.1752\left|\frac{{\epsilon }_{t-2}}{{\sigma }_{t-2}}\right|+0.0461\frac{{\epsilon }_{t=i}}{{\sigma }_{t-i}}\\ +0.7711\ln \ln \left({\sigma }_{t-1}^2\right)+\left(1.0972e-15\right)\ln \left({\sigma }_{t-2}^2\right)\end{array}$

上海

ARMA(2,2)- EGARCH(2,1)

均值方程

$R_t=0.0005+1.3596R_{t-1}-0.7449R_{t-2}+{\epsilon }_t-1.4973{\epsilon }_{t-1}+0.7925{\epsilon }_{t-2}$

方差方程

$\begin{array}{c}\ln \left({\sigma }_t^2\right)=-0.1775+0.7280\left|\frac{{\epsilon }_{t-1}}{{\sigma }_{t-1}}\right|-0.4974\left|\frac{{\epsilon }_{t-2}}{{\sigma }_{t-2}}\right|\\ -0.0721\frac{{\epsilon }_{t=i}}{{\sigma }_{t-i}}+0.9640\ln \left({\sigma }_{t-1}^2\right)\end{array}$

深圳

ARMA(3,4)- EGARCH(2,1)

均值方程

$\begin{array}{c}{R}_t=0.0005-0.3984R_{t-1}-0.3739R_{t-2}-0.9309R_{t-3}+{\epsilon }_t\\ +0.2841{\epsilon }_{t-1}+0.3484{\epsilon }_{t-2}+0.9454{\epsilon }_{t-3}-0.1069{\epsilon }_{t-4}\end{array}$

方差方程

$\begin{array}{c}\ln \left({\sigma }_t^2\right)=-0.1895+0.5312\left|\frac{{\epsilon }_{t-1}}{{\sigma }_{t-1}}\right|-0.2374\left|\frac{{\epsilon }_{t-2}}{{\sigma }_{t-2}}\right|\\ +0.0417\frac{{\epsilon }_{t=i}}{{\sigma }_{t-i}}+0.9653\ln \left({\sigma }_{t-1}^2\right)\end{array}$

天津

ARMA(4,1)- EGARCH(2,1)

均值方程

$\begin{array}{c}{R}_t=-0.0004+0.8051+0.0458R_{t-2}+0.3044R_{t-3}-0.2221R_{t-4}\\ +{\epsilon }_t-0.9890{\epsilon }_{t-1}\end{array}$

方差方程

$\begin{array}{c}\ln \left({\sigma }_t^2\right)=-0.8792+0.6650\left|\frac{{\epsilon }_{t-1}}{{\sigma }_{t-1}}\right|+0.1631\left|\frac{{\epsilon }_{t-2}}{{\sigma }_{t-2}}\right|\\ +\left(3.7637e-03\right)\frac{{\epsilon }_{t=i}}{{\sigma }_{t-i}}+0.8527\ln \left({\sigma }_{t-1}^2\right)\end{array}$

全国

ARMA(0,1)- EGARCH(1,1)

均值方程

$R_t=0.0001+{\epsilon }_t-0.8380{\epsilon }_{t-1}$

方差方程

$\ln \left({\sigma }_t^2\right)=-0.1771+2.0614\left|\frac{{\epsilon }_{t-1}}{{\sigma }_{t-1}}\right|+1.3073\frac{{\epsilon }_{t=i}}{{\sigma }_{t-i}}+0.8836\ln \left({\sigma }_{t-1}^2\right)$