基于DCC-GARCH模型对服务业板块的多元分析  

Study on the Multivariate Analysis of Service Sector Based on DCCGARCH Model

作　　者：钟林洲 谭美 赵江琪 申敏 Zhong Linzhou;Tan Mei;Zhao Jiangqi;Shen Min(School of Mathematical Sciences,Nanjing University of Technology,Nanjing 211816;School of Government Auditing,Nanjing Audit University,Nanjing 211815)

机构地区：[1]南京工业大学数理科学学院,江苏南京211816 [2]南京审计大学政府审计学院,江苏南京211815

出　　处：《中阿科技论坛（中英文）》2022年第9期65-70,共6页China-Arab States Science and Technology Forum

摘　　要：目前,经济显现逐步回暖的趋势,在做好经济复苏建设相关工作的同时,研究经济波动带来的影响有助于缓解经济下行压力。本文选择了2020年1月2日至2022年5月20日教育、酒店及餐饮、旅游等三个典型服务行业的日收盘价数据,借助DCC-GARCH模型进行多元分析。分析结果显示,从2020年开始,随着服务业行业波动性的大幅上升,三个行业波动率的趋势走向大体一致,三个行业之间传导性十分迅速,且行业间的动态相关性随经济波动的发生而增大。Currently,the economy is showing a rebounding trend.While doing a good job in economic recovery,studying the impact of economic fluctuations will help alleviate the downward pressure of the economy.This paper aims to use the DCC-GARCH model to conduct a multivariate analysis of the daily closing price data of three typical service sectors,including education,hotel and catering,and tourism from January 2,2020 to May 20,2022.The results show that the directions of volatility in the three sectors are largely consistent from 2020 onward,as volatility in the service sector increases sharply,the conductivity among the three sectors is extremely rapid,and the dynamic correlation among them increases with the occurrence of fluctuations.

关 键 词：服务业板块 DCC-GARCH模型 波动性分析 动态相关性分析 

分 类 号：F719[经济管理—产业经济]