ARCH族模型对沪市行业指数收益率的实证研究  

THE EMPIRICAL RESEACH TO THE RETURN RATES OF INDUSTY INDEX IN SHANGHAI WITH ARCH GROUP MODEL

作　　者：孙邦勇[1] 李亚琼[1] 

机构地区：[1]湖南大学数学与计量经济学院,长沙410082

出　　处：《经济数学》2007年第4期392-397,共6页Journal of Quantitative Economics

摘　　要：本文利用ARCH族模型研究沪市行业指数收益率的波动性.通过对各行业指数收益率的分析发现,行业指数收益率是平稳的,但其条件方差是尖峰厚尾的非正态分布且具有明显的ARCH效应.行业指数收益率均具有不同程度"杠杆"效应.外部信息对公用指数和综合指数收益率影响最大.融入相同的风险,它们收益最高.地产指数对外部信息反应迟钝,收益率也不显著.We make use of ARCH group model studying the volatility of industy index return rates of Shanghai stock market in this paper. We find that the return rates of industry index are stable but their conditional variance take on peak and fat tail that are not normal distribution and are significant in ARCH effect. The exirenal information has a different effect on the return rates of indutry index, that are ＂lever＂ effect. The external information has the most effect on communal and compositive index which have higher return rates than other industry index in the same risk. The land index is slow and insignificant to external information. This paper has direct reference value to investors in stock market.

关 键 词：GARCH模型 GARCH-M模型 TARCH模型 波动 

分 类 号：F832[经济管理—金融学]