摘要
选取1996年12月16日到2015年5月19日期间上证综指和深证成指日收益率数据,建立二变量指标的GARCH模型、TARCH模型和EGARCH模型,对我国股市的波动性进行实证分析.结果发现:EGARCH模型能较好地拟合沪深两市日收益率波动的时间序列,而且我国股市存在显著的非对称性,表现为股票市场上投资者对利好消息的反应小于对同等程度的利空消息的反应.
With the Shanghai Composite index and Shenzhen Component index as the investigated subjects,researches have been done in this paper by choosing the daily rate of return as the research data which covers from December 16,1996 to May 19,2015.These date has been used to establish GARCH model,TARCH model and EGARCH model.Then the empirical analysis about the volatility of Chinese stock market has been conducted.The result shows that the better model,which is capable of fitting the series of volatile daily return in Shenzhen and Shanghai,is the EGARCH model.At the same time,we can find the obvious asymmetry in stock market that the investors＇ reaction to good news is less than to the same degree of bad news.
出处
《西南师范大学学报（自然科学版）》
CAS
北大核心
2017年第2期115-119,共5页
Journal of Southwest China Normal University(Natural Science Edition)
