基于GARCH类模型的股票波动性研究--以上证A股和上证B股指数为例  被引量:5

Research on Stock Volatility Based on GARCH Model--Taking the Shanghai A Share Index and the Shanghai B Share Index as Examples

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作  者:刘子园 LIU Zi-yuan(Shanghai International Studies University,Shanghai 201620,China)

机构地区:[1]上海外国语大学,上海201620

出  处:《中小企业管理与科技》2020年第15期99-100,共2页Management & Technology of SME

摘  要:论文针对我国沪市A股指数和B股指数建立不同类型的GARCH模型,比较不同扰动项分布假设,并对模型拟合结果进行检验和比较,得到以下结论:统计结果分析表明A股和B股指数收益率序列具有“尖峰厚尾”和“波动性聚集”的特点。对最优拟合模型的选择表明t分布假设下的拟合结果优于GED分布和正态分布;非对称模型优于普通的GARCH模型。非对称模型拟合结果表明两指数均存在杠杆效应,且相比A股,B股指数对等量利好信息反应更弱而对等量利空信息反应更强。Aiming at Shanghai A share index and B share index in China to set up different types of GARCH model,the paper compares different disturbance distribution assumption,and tests and compares the result of the model fitting,gets the following conclusion:statistic analysis showed that the A share and B share index yield sequence has"peak thick tail"and"volatility cluster"characteristics.The selection of the optimal fitting model shows that the fitting results under the t distribution assumption are superior to the GED distribution and normal distribution and the asymmetric model is superior to the ordinary GARCH model.The results of asymmetric model fitting show that both indexes have leverage effect,and the B share index has weaker response to the same amount of good information and stronger response to the same amount of bad information than the A share index.

关 键 词:GARCH类模型 波动性 杠杆效应 

分 类 号:F832.5[经济管理—金融学]

 

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