GARCH族模型的股市波动性研究综述  

Literature Review of GARCH Model on Stock Market Volatility

作　　者：刘金全 刘艺萍 LIU Jinquan;LIU Yiping(School of Economics and Statistics,Guangzhou University)

机构地区：[1]广州大学经济与统计学院

出　　处：《中国商论》2021年第20期110-113,共4页China Journal of Commerce

基　　金：国家社会科学基金重点项目资助(19AJY005)。

摘　　要：股市是市场资产配置的重要方式,也是一个国家或地区经济发展状况的晴雨表。股市波动率是企业、股票投资者及监管部门的重要关注对象。本文从波动率的测算、波动的特征和波动的影响因素三个方面,对GARCH族模型的股市波动性研究进行梳理,发现GARCH族模型对股市波动具有良好的预测能力,其中GARCH(1, 1)模型的应用最广。现有研究表明,我国股市波动性存在高波动性、长记忆性、非对称性等特征,尤其是非对称性最为显著,而且波动性还受宏观经济波动、融资融券制度等多种复杂因素的影响。由于持续的股市波动会使投资者承受更大的风险,而股市波动性的相关研究能使投资者了解股市波动的规律,帮助企业和投资者预测未来,从而保障投资者的利益,具有一定的现实意义。Stock market is an important way of asset allocation in the market and also a barometer of the economic conditions of a country or region.Stock market volatility is an important concern of enterprises,stock investors and regulatory authorities.In this paper,from three aspects of volatility measurement,characteristics and influencing factors of volatility,the GARCH model of stock market volatility research is sorted out,and it is found that the GARCH model has a good ability to predict the stock market volatility,among which the GARCH(1,1)model is the most widely used.Existing studies show that the volatility of China’s stock market is characterized by high volatility,long-term memory,asymmetry and other characteristics,especially the most significant asymmetry.Moreover,the volatility is also affected by a variety of complex factors such as macroeconomic fluctuations and margin system and other complicated factors.Since the continuous volatility of stock market will make investors bear greater risks,and the relevant research on stock market’s volatility enables investors to understand the law of stock market’s volatility,helps enterprises and investors to predict the future,so as to protect the interests of investors,which has certain practical significance.

关 键 词：股市 波动性 GARCH模型 

分 类 号：F832[经济管理—金融学]