基于ARCH类模型的中国经济波动性研究  

Studying on China's Economy Fluctuation with ARCH Family Models

作　　者：吴诣民[1] 罗剑兵[1] 李红霞[1] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061

出　　处：《统计与信息论坛》2007年第1期63-67,共5页Journal of Statistics and Information

摘　　要：应用ARCH类模型对中国实际GDP的波动率进行了实证研究,利用准极大似然估计方法QML估计三种ARCH类模型(GARCH、T-GARCH和E-GARCH)。实证研究表明:GARCH(1,1)模型是最优的拟合模型。这意味着中国经济波动率是变化的,而且GDP实际增长率是对称的。因此,在经济系统自身还不具备自我稳定功能的条件下,外部干预是保证经济平稳过渡的重要条件。This paper has analyzed the real GDP fluctuation rate applying ARCH family models,and has(estimated) three GARCH、T-GARCH and E-GARCH models making use of QML methods.We find that the GARCH(1,1)model is the best one.It means that the economy fluctuation rate is variable and the real GDP(increasing) rate is symmetry in China.Thus,when in the condition that the economy system does not have the function of auto-stabilizing,the government interference is necessary to make the economy transition steady.

关 键 词：GARCH T-GARCH E-GARCH 实际GDP 波动率 

分 类 号：F224.0[经济管理—国民经济]