欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
利用已实现波动方法对上海股市404只股票的周β系数进行实时估计，分行业对已实现周β系数进行了统计分析，结果表明，高科技行业的β系数同其他行业的β系数有显著性差异。探讨了股本与行业因素对不同模型预测β系数结果的影响，研究表明，平均绝对预测误差MAE和均方预测误差MSE表明预测精度有随着股本增大而减小的趋势，并且保守型行业预测精度要普遍好于高科技行业的预测精度。
英文摘要：
Realized betas of 404 stocks were measured by using the realized volatility in Shanghai stock market, and realized betas distributions were analyzed in different industries. The results suggest that realized betas of hi-tech industries were different from those of other industries. The performance of forecasting models were compared by the mean absolute forecasting error and the mean square forecasting error corresponding to market capitalization and industry. The results show that the forecasting abilities of models were better when the stock＇s market capitalization was higher and the models also worked well with the conservative industries.
同期刊论文项目
同项目期刊论文
位置：