基于GARCH族模型的我国股市波动性分析  

Analysis on the Volatility of Chinese Stock Market Based on GARCH Model

作　　者：汤祥凤 

机构地区：[1]安徽财经大学金融学院,安徽蚌埠233000

出　　处：《山东青年政治学院学报》2016年第3期104-108,共5页Journal of Shandong Youth University of Political Science

基　　金：安徽财经大学2015年研究生科研创新基金(项目编号:ACYC2015056)

摘　　要：以上证指数和深圳成指为研究对象,运用GARCH类模型对沪深两市的波动性、非对称性以及波动溢出效应进行了实证分析研究。实证表明:(1)两市存在显著的ARCH效应,且深市的风险溢价要高于沪市;(2)两市的杠杆效应较为显著,表明沪深市场上坏消息比好消息更能引起股市的剧烈波动;(3)两市存在单向的波动溢出效应,且沪市的波动会导致深市的波动。Taking Shanghai composite index and Shenzhen component index as the study objects,using GARCH class models of Shanghai and Shenzhen,the empirical analysis research has been carried on about volatility of asymmetry and volatility spillover effect,the empirical result shows that：（ 1） There is a significant role effect of the ARCH in the two cities,Shenzhen being at more risk on premium than in Shanghai;（ 2） There is a significant leverage effect showing a stronger fluctuation from bad news than good news in Shanghai and Shenzhen markets;（ 3） Both cities have one- way volatility spillover effect,and the fluctuations from Shanghai stock market can cause the fluctuations of Shenzhen.

关 键 词：GARCH族模型 GARCH效应 杠杆效应 波动溢出效应 

分 类 号：F830.91[经济管理—金融学]