考虑方差结构突变的股市收益波动非对称性研究  

THE ASYMMETRY VOLATILITY OF RETURN IN CHINESE EQUITY MARKET BASEDON THE STRUCTURAL BREAKS

作　　者：田成诗[1] 郭丽[1] 

机构地区：[1]东北财经大学统计学院,大连116025

出　　处：《系统科学与数学》2014年第6期653-662,共10页Journal of Systems Science and Mathematical Sciences

基　　金：教育部人文社会科学重点研究基地重大项目(2007JJD790143)资助课题

摘　　要：股市收益波动非对称性的研究对于构建准确的资产价格模型以及市场波动性的预测来说都是至关重要的.但在我国股市收益波动中是否存在内生的结构突变,结构突变是否对股市收益波动的非对称性特征产生影响等问题上却缺乏探讨.利用引入了结构突变的ARCH族模型考察了我国股市收益波动的非对称性.研究结果发现,引入结构突变后的ARCH族模型对股市收益波动的拟合效果更好.在考虑了结构突变后,股市收益波动的持续性降低,非对称性现象虽然存在,但好消息和坏消息对股市收益波动的影响程度却发生了变化.It is crucial to build accurate asset pricing models and to forecast the volatility of equity market for the research of the asymmetry of return volatility. But the discussion on endogenous structural breaks in return variance and impact of structural breaks on asymmetric of return volatility is seldom in Chinese equity market. The paper investigates the asymmetry of return volatility in equity market in China with ARCH models incorporating the structural breaks. The results show that the fit is better to include structural breaks. Accounting for structural breaks will yield low volatility persistence and change the impact of news on volatility though the asymmetry of return volatility exists.

关 键 词：收益率 波动 非对称性 结构突变 

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