上证国债指数日收益率的波动特征及对保险投资的影响——基于GARCH模型的实证研究  

The characteristics of daily yield fluctuation of SSE T-Bond Index and its impacts on insurance fund investment——Based on the GARCH model exponential analysis

作　　者：周涛 程晨[2] 

机构地区：[1]中国人寿保险(海外)股份有限公司 [2]中国人民大学统计学院,北京100872

出　　处：《保险研究》2011年第5期103-111,共9页Insurance Studies

摘　　要：本文以上证国债指数日收益率的波动为研究对象,通过GARCH和非对称GARCH模型的实证分析,发现上证国债指数对数收益率表现出如下波动特征:一是具有集聚性,过去的波动对当前的波动具有持续的影响。二是存在显著的杠杆效应,利空消息引起的波动比同等大小的利好消息引起的波动要大。国债市场的波动性和风险对保险投资的策略选择具有重要的决策参考意义:当收益率大幅波动,出现突发事件和利空消息时,保险投资国债需要谨慎,反之则可以稳健投资。The paper studied the daily yield fluctuation of SSE T-Bond Index, and by conducting an exponential analysis of the GARCH model and asymmetric GARCH model,revealed that the SSE T-Bond Index＇s logarithmic return rate had the following characteristics： firstly it had a clustering feature, and past fluctuation had a continuous impact on the current volatility; secondly, there was a conspicuous leverage effect, and bad news could lead to a high fluctuation than good news of similar weight. The fluctuation of and risks in the T-bond market had an important bearing of the selection of investment strategy for insurance funds. When the yield had a wide sway and there was a sudden issue and bad news,insurance funds should be investment more prudently, otherwise the investment could be carried out as it should be.

关 键 词：上证国债指数 GARCH模型族 长记忆模型 保险投资 

分 类 号：F840.32[经济管理—保险]