基于ARCH族模型的可转换债券收益率杠杆效应研究  

Research on Leverage Effect of Convertible Bond Yield Based on ARCH Family Model

作　　者：刘润东 闫振坤 LIU Rundong;YAN Zhenkun

机构地区：[1]青岛大学经济学院,山东青岛266000

出　　处：《上海立信会计金融学院学报》2019年第1期72-79,共8页Journal of Shanghai Lixin University of Accounting and Finance

基　　金：山东省社会科学规划研究项目(编号:17CGLJ05)

摘　　要：根据可转债指数对数收益率历年数据,应用EGARCH和TGARCH模型进行建模,通过分析模型特定的系数来研究可转债的收益率是否具有杠杆效应。同时,使用GARCH族模型对可转债指数的对数收益率进行拟合,找到能够拟合其对数收益率的最佳模型。分析结果证明:可转债对数收益率不具有杠杆效应,根据模型拟合的结果与最大似然值Log Likelihood得出结论,使用ARGARCH模型拟合效果最佳,并给出了模型的具体形式。On the basis of the logarithmic yield data of convertible bond index over years, the authors use EGARCH and TGARCH models to test the leverage effect of the convertible bond yield by analyzing the specific coefficients of the model. The GARCH family model is used to fit the logarithmic yield of the convertible bond index and find the best model to fit the logarithmic yield. The analysis results prove that the logarithmic return has no leverage effect. Through the fitting results of the model and the maximum likelihood Log Likelihood, the authors conclude that the AR-GARCH model has the best fitting effect and provide the concrete form of the model.

关 键 词：可转债市场 收益率 杠杆效应 GARCH族模型 

分 类 号：F830.91[经济管理—金融学]