基于厚尾分布下Realized GARCH模型的中国股票市场波动研究  

Study on the volatility of China's stock market based on Realized GARCH model under fat-tailed distribution

作　　者：刘若萌 郭名媛[1] 

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《天津理工大学学报》2017年第5期46-50,共5页Journal of Tianjin University of Technology

摘　　要：金融模型的正确选择是估计收益序列的分布和波动率至关重要的一步.本文采用误差项服从正态分布、t分布、偏t分布、NIG分布的Realized GARCH模型,拟合上证综指的收益率分布和波动率,并与误差项服从正态分布、t分布、偏t分布、NIG分布的GARCH模型进行对比,证明厚尾分布下的Realized GARCH模型能够更为精确地描述中国股市的波动性.The correct selection of both the financial models and the distribution of returns is of vital importance when estimating the volatility of stock market. In this paper,Realized GARCH model which error term follows normal distribution,t distribution,skewed-t distribution and NIG distribution respectively,is used to fit the volatility and return distribution of Shanghai composite index. Compared with GARCH model which error term follows normal distribution,t distribution,skewed-t distribution and NIG distribution respectively,Realized GARCH model based on fat-tailed distribution describes the volatility of China＇s stock market much more accurately.

关 键 词：Realized GARCH NIG分布 厚尾分布 波动率 

分 类 号：F830.91[经济管理—金融学]