基于非对称性GARCH模型的国债经济市场波动性分析  

Volatility Analysis of National Debt Economic Market Based on Asymmetric GARCH Model

作　　者：孙斐斐 施国洪[1] Sun Feifei;Shi Guohong(School of Management, Jiangsu University, Zhenjiang 212013, China;Changzhou Institute of Light Industry Technology, Changzhou Jiangsu 213164,China)

机构地区：[1]江苏大学管理学院,江苏镇江212013 [2]常州轻工职业技术学院,江苏常州213164

出　　处：《统计与决策》2019年第6期149-153,共5页Statistics & Decision

基　　金：国家社会科学基金资助项目(13BTQ029);教育部人文社会科学研究规划基金项目(12YJA630188);江苏省教育厅高校哲学社会科学基金项目(2013SJB6300099)

摘　　要：国债经济市场的波动性影响着我国经济的发展。根据国内外国债经济波动性的研究成果,文章采用非对称效应的GARCH模型来真实模拟国债指数收益率的波动情况,对国债指数收益率进行ADF平稳性检验,基于GARCH模型对国债指数收益率进行实证分析。The volatility of the market of national debt economy affects the development of China. Based on the research results of domestic and foreign national debt economic volatility, this paper uses the GARCH model of asymmetric effect to simulate the fluctuation of the yield of the national debt index accurately. The paper also carries on ADF stability test on the bond yield.And finally based on GARCH model the paper makes an empirical analysis on the yield rate of national bond index.

关 键 词：非对称性效应 GARCH模型 国债指数 波动性 

分 类 号：F830.91[经济管理—金融学]