中国股市收益率与波动率跳跃性特征的实证分析  

Empirical Investigation on Rate of Return and Volatility with Jump-GARCH Model in Chinese Stock Market

作　　者：童汉飞[1] 刘宏伟[2] 

机构地区：[1]江苏省工商银行 [2]中山大学岭南学院

出　　处：《南方经济》2006年第5期61-72,共12页South China Journal of Economics

基　　金：国家自然科学基金项目(70473106;70541005);教育部人文社会科学重点研究基地重大项目(05JJD790075);中山大学笹川优秀青年奖学基金博士创新项目;中山大学"985工程"产业与区域发展研究创新基地;广东省普通高校人文社会科学重点研究基地经费资助成果之一。

摘　　要：股票市场收益率通常小幅波动,但是当市场出现重大或者异常信息时,收益率会在短时间内发生大规模的运动,产生跳跃性变化,市场波动率也明显加剧。本文采用Jump-GARCH对沪深两市A股B股的这类跳跃性特征进行实证分析。根据该模型:当收益率小规模变化时,波动率由GARCH(1,1)平稳随机过程产生,但是当收益率发生跳跃性变化,波动率将背离GARCH(1,1)过程,调整到一个较高的水平。实证结果表明,该模型能够有效地估计出沪深两市收益率和波动率的跳跃性变化,比正态分布的GARCH模型更合理地反应了市场收益率和波动率过程。本文同时讨论了A股B股的跳跃性特征。Rates of returns in stock market usually volatile to some extent. Once an important or abnormal news releases in the market, the returns will become turbulent and volatile to great extent, and will follow jumping process. This paper investigates the rates of return and volatility under jumping process by utilizing the Jump-GARCH and employing the data from Share A and Share B in Shanghai Stock Exchange and Shenzhen Stock Exchange. The Rates of returns are driven into two types of random process. Volatility is assumed to be driven by GARCH （1,1） stationary stochastic process in the absence of jumps. But if jumps occur, volatility will be reset to a higher level. The results indicate that the proposed model outperforms the other models by capturing the distribution of realized rates of return and volatility. Other findings related to jump process between Share A and Share B are also discussed in this paper.

关 键 词：波动率 收益率 跳跃性 Jump—GARCH 

分 类 号：F830.9[经济管理—金融学]