上海证券市场GARCH效应检验和模型选择  

Testing of the GARCH Effect and Model Selecting in Shanghai Security Market

作　　者：闫志刚[1] 

机构地区：[1]东北财经大学研究生部,辽宁大连116025

出　　处：《统计与信息论坛》2005年第1期66-69,共4页Journal of Statistics and Information

摘　　要：文章利用1999年10月8日至2003年11月7日上证综合指数每日的收盘价数据对其进行了GARCH效应的检验,结果表明上海证券市场股价的波动存在着显著的GARCH效应,并且存在非对称的情况。在具体的模型选择上以EGARCH(1,1)较好,并且在研究中发现GARCH-M模型不适合模拟我国上海证券市场股价的波动情况。In this paper, author tests the GARCH effect in Shanghai security market by the closing price of the composite index of Shanghai Security Market from Oct.8, 1999 to Nov.7, 2003. The result shows that there is a remarkable GARCH effect in Shanghai Stock market. Through further research, author finds this effect is asymmetric. And, among all the models, EGARCH (1, 1) model performs best. Moreover, author finds that the GARCH -M model is not suitable for simulating the fluctuation situation of the stock price of Shanghai Security Market.

关 键 词：股价波动 GARCH EGARCH TGARCH GARCH-M 

分 类 号：F224.0[经济管理—国民经济]