基于GED-GARCH族模型沪深股指波动性研究  

Study on the Characteristics of China's Stock Markets Volatility Based on GED- GARCH Model

作　　者：肖健[1] 

机构地区：[1]江西财经大学信息管理学院,江西南昌330013

出　　处：《内蒙古财经大学学报》2016年第3期22-27,共6页Journal of Inner Mongolia University of Finance and Economics

摘　　要：本文以上证综指、深圳成指收益率为研究对象,通过对比Normal、Student-t以及GED三种分布假定的个GARCH族模型,发现基于GED的GARCH族模型较好符合收益率尖峰厚尾的特征。并在此基础上选取上证综指和深圳成指日收益率观测数据进行波动性研究,发现深市存在显著的杠杆性,沪市也存在杠杆性却并不明显,但两股市都存在风险溢价以及非对称的溢出效应。In this paper,the Shanghai composite index returns and Shenzhen composition index are targeted as the research object,compares assumption that the distribution of different ethnic ARCH model and found that the GARCH model based on distribution of GED can be used to explain better the peak and thick tail feature of the yield series distribution. And on the basis of selecting daily yield series of the Shanghai composite index and Shenzhen stock,and does some research on the volatility of the yield series,finds that there is significant leverage in Shenzhen stock market,but Shanghai stock market is not significant. Shenzhen stock market and Shanghai stock market exist risk premium and asymmetric spillover effect.

关 键 词：GED-GARCH族模型 风险溢价 杠杆性 溢出效应 

分 类 号：F830.91[经济管理—金融学]