基于随机波动率模型与GARCH模型的资本市场研究  

Research on Capital Market Based on Stochastic Volatility Model and GARCH Model

作　　者：王雪 Wang Xue(College of Finance,Xinjiang University of Finance and Economics,Urumgi 830012)

机构地区：[1]新疆财经大学金融学院,新疆乌鲁木齐830012

出　　处：《西部金融》2021年第3期49-56,共8页West China Finance

摘　　要：本文就我国股市上证综指、深圳成指与香港恒生指数和美国道琼斯工业指数分别运用单变量GARCH、多元GARCH、单变量随机波动率与多元随机波动率4个模型来刻画资本市场的波动。研究结果表明,在对4个资本市场指数波动率的刻画中,多元模型优于单变量模型,且随机波动率模型要优于GARCH模型,上证综指与深圳成指和道琼工业指数之间存现显著的波动溢出,恒生指数与美国道琼工业指数波动率之间也存在显著的正向关系。对不同资本市场间波动率溢出以及信息传导机制的研究有助于有效控制不同股市间的风险传染,防范金融风险。Affected by the epidemic,economic globalization began to shake,the interaction between different capital markets is becoming more and more complicated,and it is more and more important to accurately characterize the transmission between different markets.This article uses four models of univariate GARCH,multivariate GARCH,univariate stochastic volatility and multivariate stochastic volatility to describe the volatility of the capital market on the Shanghai Stock Exchange Composite Index,Shenzhen Component Index,Hong Kong Hang Seng Index and the US Dow Jones Industrial Index.The results show that in describing the volatility of the four capital market indices,the multivariate model is superior to the univariate model,and the stochastic volatility model is superior to the GARCH model.Between the Shanghai Composite Index and the Shenzhen Component Index and the Dow Jones Industrial Index There is a significant volatility spillover,and there is also a significant positive relationship between the volatility of the Hang Seng Index and the US Dow Jones Industrial Index.The research on the volatility spillover between different capital markets and the information transmission mechanism helps to effectively control the risk contagion between different stock markets and prevent financial risks.

关 键 词：多元GARCH模型 多元随机波动率模型 资本市场 

分 类 号：F832.7[经济管理—金融学]