基于推广ARCH模型的沪深300指数对数收益率波动性研究  

Research on Volatility of Return of CSI 300 Index Based on Generalized ARCH Model

作　　者：任佳顺 胡学平 REN Jiashun;HU Xueping(School of Mathematics and Physics,Anqing Normal University,Anqing 246133,China)

机构地区：[1]安庆师范大学数理学院,安徽安庆246133

出　　处：《安庆师范大学学报（自然科学版）》2020年第4期29-33,共5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(KJ2019A0557);校级一流本科专业项目(2019aqnuylzy01)。

摘　　要：利用GARCH模型和EGARCH模型,选取2002年1月至2019年8月沪深300指数日收盘价数据,分析我国股票市场波动性状况,对沪深300指数对数收益率波动性进行实证分析,发现其收益率的波动性具有杠杆效应,并得到了收益率波动性的相关时间序列模型,结合模型对股票市场的波动性提出了一些对策。In this paper, GARCH model and EGACH model are used to select the daily closing price data of CSI 300 index from January 2002 to August 2019 to analyze the volatility of China’s stock market. Empirical analysis is made on the volatility of CSI 300 index’s logarithmic return rate. It is found that the volatility of its return rate has a leverage effect, and the relevant time series model of return rate volatility is obtained. Combined with the model, and some countermeasures are put forward.

关 键 词：GARCH模型 EGARCH模型 沪深300指数 收益率 波动性 

分 类 号：O212[理学—概率论与数理统计]