基于分阶段GARCH模型中国B股市场波动性比较  

Comparative Analysis of the Chinese B-Share Market Volatility in Phases Based on the GARCH Model

作　　者：李克胜[1] 王沁[1] 唐家银[1] 

机构地区：[1]西南交通大学数学学院,四川成都610031

出　　处：《吉首大学学报（自然科学版）》2012年第3期22-26,共5页Journal of Jishou University(Natural Sciences Edition)

基　　金：中央高校基本科研业务费专项资金资助(SWJTU12CX058)

摘　　要：2001年2月19日,中国B股市场对国内居民正式开放,大量国内投资者涌入B股市场,对B股市场的风险结构产生了不可忽略的影响.对2001年2月19日前后2个阶段的深圳B股指数收益序列以及整个考察期内B股指数收益序列建立恰当的GARCH模型,比较模型的参数估计,从实证的角度证实了分阶段的合理性和必要性,同时发现中国B股市场的投资环境在逐渐变好,并且越来越遵循市场规范,正在向较成熟市场发展.On Februay 19,2001, the B-share market of China was open to domestic residents legally. A larger number of domestic investors pour into the B-share market, which has produced dramatic effect on the risk structure of the B-share market. In this paper,the family of GARCH model was applied in modeling and analyzing Shenzhen B-share market,which was divided into two stages from Februay 19,2001 and the total review period samples. According to the comparison and study of the basic statistical results and the estimators of the model＇s parameters of the return series, the necessity and rationality of phased modeling are proved. The phased GARCH model has found that the investment environment of Chinese B-share market has changed gradually for the better, and become more and more regulated, it is becoming a mature stock market.

关 键 词：GARCH 风险结构 分阶段 非对称 

分 类 号：F224[经济管理—国民经济] F832.5