信息的非对称效应及对上证综指的实证分析  

Asymmetrical Effect of Information and an Empirical Study on the Shangzheng Index

作　　者：史美景[1] 

机构地区：[1]西安交通大学经济与金融学院统计系,陕西西安710061

出　　处：《统计与信息论坛》2006年第1期59-63,共5页Journal of Statistics and Information

摘　　要：文章利用EGARCH-M,TGARCH-M和PGARCH-M具有非对称效应的均值模型,对上证指数收益率波动性进行了实证分析,结果显示这些模型均能很好地反映收益率序列的非对称杠杆效应及期望收益和期望风险的正向关系,并通过信息影响曲线(News Impact Curves)直观看出利空、利好消息的非对称反映,进而比较选择能更好地拟合此序列的模型。Using EGARCH-M, TGARCH-M and PGARCH-M models with asymmetrical effect, the author analyzes empirically the rate-of-return volatility of Shangzheng index. It is found that all of the models can show the leverage effect and the correct relationship between expected return and expected risk. Then the asymmetrical effect of bad news and good news also can be shown through News Impact Curves （NIC）. Also found is that best fit model can be find by simple comparison.

关 键 词：GARCH类模型 上证指数收益率 非对称效应 消息影响曲线 

分 类 号：F830[经济管理—金融学]