基于EGARCH-M模型的沪深300指数周末效应研究  

Study on Weekend Effect of CSI 300 Index Based on EGARCH-M Model

作　　者：李泽圣 胡学平 LI Zesheng;HU Xueping(School of Mathematics and Computation Sciences,Anqing Normal University,Anqing 246133,China)

机构地区：[1]安庆师范大学数学与计算科学学院,安徽安庆246133

出　　处：《安庆师范大学学报（自然科学版）》2018年第1期17-20,共4页Journal of Anqing Normal University(Natural Science Edition)

基　　金：安徽省高校自然科学基金重点项目(kj2016A179)

摘　　要：将EGARCH模型和GARCH-M模型相结合,建立了基于学生t分布的EGARCH-M模型,在综合考虑沪深300指数收益率序列的波动性和杠杆效应等问题的基础上,分析了周末效应对沪深300指数收益率序列的影响程度。通过分析得出沪深300指数总体平稳并呈现ARCH效应,序列不仅具有波动性和杠杆效应,同时有显著的周二正效应,周四负效应,且周二、周四的超额收益率都包含了当天的风险补偿,周一、周三、周五则没有周末效应。Combining EGARCH model with GARCH-M model, a model based on student t distribution is established. Based on considering volatility and leverage effect of Shanghai Shenzhen 300 Index return series, this paper analyzes the influence degree of weekend effect on return sequence of CSI 300 Index. Through analysis we conclude that CSI 300 index is stable and presents ARCH effect, which not only has volatility and leverage effect,but also has significant tuesday positive effect and negative effect on thursday. And excess yields on tuesday and thursday include risk compensation for the day and no weekend effects on monday, wednesday,and friday.

关 键 词：周末效应 沪深300指数 EGARCH-M模型 杠杆效应 波动性 

分 类 号：O212.1[理学—概率论与数理统计]