股票市场长期波动趋势度量及影响因素分析——基于Spline-GARCH模型  

Measurement of Long-run Stock Market Volatility Trend and Analysis of Causes Based on Spline-GARCH Model

作　　者：史美景[1] 宋婷[2] 

机构地区：[1]西安交通大学经济金融学院,陕西西安710061 [2]西安电子科技大学经济管理学院,陕西西安710071

出　　处：《数理统计与管理》2015年第1期175-182,共8页Journal of Applied Statistics and Management

摘　　要：本文意在度量股票市场长期波动趋势,检验长期股票市场风险与宏观经济变量的关系。以Engle和Rangel(2008)提出的Spline-GARCH模型为基础建立一个新的模型Spline-GARCHEMD,并利用EMD方法拆解季度宏观经济变量CPI和GDP为数个不同频率的成分因子与趋势,以达到去除趋势以及连接总体宏观经济景气循环的目标。研究发现纳入CPI和GDP因素后计算的长期风险对总风险的贡献分别为11.7%和7.81%,说明经济环境的变化对我国股票市场收益率波动影响不大,GDP和CPI的变化并没有提供股市长期风险有用的信息。In this paper we intend to measure to stock market long-run volatility trend and test the relationship of long-run stock market risk and macroeconomic variables.Based on the Spline-GARCH model proposed by Engle and Rangel（2008）,we build a new model Spline-GARCH-EMD,Utilizing EMD（Empirical Mode Decomposition） method to decompose the quarterly macroeconomic variables GDP and CPI into a number of different frequencies component factors and trends,to detrend and link macroeconomic business cycle.By adding CPI and GDP factors,We find the contribution of long-run risk to overall risk is 11.7%and 7.81%,macroeconomic environments have little effect on our stock market,Changes in GDP and CPI does not provide useful information to the stock market long-run risk.

关 键 词：长期风险 Spline-GARCH模型 EMD方法 股票市场 CPI和GDP 

分 类 号：F833[经济管理—金融学] O212[理学—概率论与数理统计]