上证综合指数波动性的实证分析  

The Empirical Analysis on the Character of Volatility for Shanghai Stock Index

作　　者：覃思乾[1] 韦国燕[2] 梁宗平[2] 

机构地区：[1]玉林师范学院数学与计算机科学系,副教授广西玉林537000 [2]广西经济管理干部学院,广西南宁537007

出　　处：《玉林师范学院学报》2008年第3期28-32,共5页Journal of Yulin Normal University

摘　　要：以上证综合指数的日收益率为研究对象,建立了基于正态分布的GARCH(1,1)模型,同时考虑到股票收益率受到风险水平的影响,进一步建立GARCH(1,1)-M模型.实证研究结果表明,上证综合指数的收益率具有尖峰厚尾、方差随时间而变化特点与波动集群的现象.在研究样本区间内,GARCH(1,1)模型能较好地拟合上证综合指数收益率的波动性,同时,其期望收益与期望风险存在着正向关系.The daily return rate of Shanghai Stock Index is studied, establishing base on normal distribution GARCH （ 1,1 ） model and considering the stock return influenced by return, establish GARCH （ 1,1 ） -M model.The result of exemplify demonstrates that the return rate of Shanghai Stock Index posses the character of excess kurtosis and fat tail and variance changes follow time as well as the phenomenon of volatility clustering. Study on the sample region GARCH （ 1, 1 ） model can combine the volatility Shanghai Stock Index return rate. At the sime, there is a possitive relationship between expect return and expect venture.

关 键 词：收益率 波动性 GARCH模型 无偏估计 

分 类 号：F224[经济管理—国民经济]