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- W2358014671 abstract "This article studies on SHIBOR overnight rate's sample from January 4,2012 to December 31,2013.The paper concludes: 1SHIBOR overnight rate doesn't obey the normal distribution and it has the characteristics of rlepokurtic and skewed distribution. 2After repeated trial,we find that,in the case of a disturbance is assumed to be GED distribution,AR( 2)-the EGARCH( 1,1)-M model can better fit the original sequence,and the model's estimate result prove that SHIBOR of fluctuations exists the leverage effect,which tell us that compared with the bad news,good newscan lead to greater volatility." @default.
- W2358014671 created "2016-06-24" @default.
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- W2358014671 date "2014-01-01" @default.
- W2358014671 modified "2023-09-28" @default.
- W2358014671 title "SHIBOR variance's time-variable research based on the EGARCH model under GED distribution" @default.
- W2358014671 hasPublicationYear "2014" @default.
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