Application Research Based On AR-TAR-GARCH Model

In this paper, we combine the AR-TAR-GARCH model and the ATR model.At first,we study the portfolio yield of the small and medium-sized board composite index and thegrowth enterprise board index from December27,2010to November21,2011,then we studythe portfolio yield of the two markets under the influence of volume.we build AR-TAR-GARCH model for each situation and use Eviews6.0to do parameter estimation andshort-term predication.The results show four conclusion.1. It is more direct and practical to study the risk of the portfolio yield of the small andmedium-sized board composite index and growth enterprise board index by AR-TAR-GARCH model than to depict it by AR model, TAR model and ARCH model. And theportfolio yield which we calculate by AR-TAR-GARCH model is higher than that wecalculate by other models,so the predicted value is more precise.2.By analyzing the small and medium-sized board composite index and volume,wekonw that the portfolio yield of the small and medium-sized board composite index will rise0.017unit whenever the volume increases1unit.3.By analyzing the growth enterprise board index and volume,we konw that theportfolio yield will rise0.001unit whenever the volume of the growth enterprise boardincreases1unit.4.By doing the RMSE analysis of the predicted results,we konw that the predicted errorof the portfolio yield of the small and medium-sized board composite index and volume is0.02lesser than the predicted error of the portfolio yield,and the predicted error of theportfolio yield of the growth enterprise board index and volume is0.04lesser than thepredicted error of the portfolio yield.