居民消费价格指数、工业增加率与股票指数波动关系分析——基于GARCH-MIDAS模型  

Consumer Price Index,Industrial Growth Rate and Stock Index Volatility Correlation Analysis Based on GARCH-MIDAS Model

作　　者：谢贤芬[1] 何亦琛 毛宜军[3] 古万荣 张子烨 黄天睿 XIE Xian-fen;HE Yi-chen;MAO Yijun;GU Wan-rong;ZHANG Zi-ye;HUANG Tian-rui(School of Economics,Jinan University,Guangzhou 510632,China;School of Computer Science and Engineer,South China University of Technology,Guangzhou 510641,China;School of Mathematics and Information,South China Agricultural University,Guangzhou 510642,China;School of Computer,Guangdong University of Education,Guangzhou 510303,China)

机构地区：[1]暨南大学经济学院,广东广州510632 [2]华南理工大学计算机科学与工程学院,广东广州510641 [3]华南农业大学数学与信息学院,广东广州510642 [4]广东第二师范学院计算机学院,广东广州510303

出　　处：《数学的实践与认识》2025年第3期1-12,共12页Mathematics in Practice and Theory

基　　金：广东省自然科学基金面上项目(2022A1515011489)。

摘　　要：为探究宏观经济因素与股市波动之间的关系,选取上证180指数与中证100指数为研究对象,将居民消费价格指数和工业增加率作为研究变量,基于多因子GARCH-MIDAS模型,研究宏观经济变量对股票价格长短期波动的影响.结果表明:模型能够很好地拟合股市的波动性,能较好地反映宏观经济变量与股市波动性之间的相关性;两个变量均对股市长期波动产生正向影响,均能显著影响未来股票市场波动.两者对股市波动短期影响则各有不同,工业增加率的影响不明显,而股市短期波动对居民消费价格指数的波动非常敏感。To explore the relationship between macroeconomy factors and stock market volatility,this paper selected the SSE 180 Index and the CSI 100 Index as the research objects and took the Consumer Price Index and the Industrial Growth Rate as the research variables,then used GARCH-MIDAS model to study the influence of macroeconomy on the long-run and short-run components of stock market volatility.The empirical study shows that the model can fit the stock market volatility well and can better reflect the correlation between macroeconomic variables and stock market volatility.Both variables have a significant positive impact on the long-run components of stock volatility.The two have different effects on shortrun components of stock market volatility.Industrial Growth Rate has no obvious impact on short-run components of stock market volatility,while short-run components of stock market volatility are very sensitive to the fluctuation of Consumer Price Index.

关 键 词：股市波动率 GARCH-MIDAS 混频数据 长短期波动 

分 类 号：F830.91[经济管理—金融学]