基于ARMA-GARCH模型的沪深300指数日收益率波动特性研究  

Study on the Fluctuation Characteristics of the Daily Return Rate Based on Hushen 300 Index

作　　者：张志强[1] 

机构地区：[1]首都经济贸易大学经济学院,北京100070

出　　处：《山西科技》2016年第1期43-46,共4页Shanxi Science and Technology

摘　　要：以沪深300指数为研究对象,运用R软件建立带正态分布和t分布的ARMA-GARCH模型,对2005年4月8日—2015年4月21日沪深300指数日收益率的波动情况进行了研究。研究表明:沪深300指数股票具有明显的ARCH效应,其对数收益率不具有正态分布的特性,但具有明显的"尖峰厚尾"现象和"长记忆"的特性,存在着波动率聚集现象;基于学生t分布的ARMA(2,3)+GARCH(1,1)模型是最优的拟合模型,可以较好地对沪深300指数的波动情况进行模拟。TakingHushen 300 Index as a research object, this paper establishes the ARMA-GARCH model with normal distribution and t distribution by using software R to study the fluctuation status of the daily return rate of Hushen 300 Index in the period of April 8, 2005-April 21, 2015, the results of which show that Hushen 300 Index stocks possess obvious ARCH effect, its logarithmic return rate does not have the characteristics of normal distribution, but has the obvious phenomenon of ＂sharp peak and heavy tail＂ and and the characteristics of ＂long memory＂, and there is a fluctuation ratio clustering phenomenon; the ARMA （2,3） ＋GARCH （ 1,1 ） model based on student＇ s t distribution, which is an optimal fitting model, can be used to better simulate the fluctuation of Hushen 300 Index.

关 键 词：日收益率 波动特性 沪深300指数 ARMA-GARCH模型 学生t分布 

分 类 号：F224.0[经济管理—国民经济]