中国股票市场风险的实证分析研究  

Empirical Researches on the Risk for the Security Market of China

作　　者：李萌[1] 叶俊[1] 

机构地区：[1]清华大学数学科学系,北京100084

出　　处：《数理统计与管理》2003年第4期12-17,23,共7页Journal of Applied Statistics and Management

基　　金：国家自然科学基金资助项目 (No .79970 1 2 0 )

摘　　要：本文从实证角度说明了上证指数和深证成份指数存在着GARCH现象 ,并建立了沪、深两市股指波动率的IGARCH(1,1) M模型与EGARCH(1,1) M模型。将估计的IGARCH(1,1) M模型与EGARCH(1,1) M模型比较得出 ,对上证指数的波动率 ,IGARCH(1,1) M模型与EGARCH(1,1) M模型的模拟效果基本相同 ,而对深证成份指数的波动率 ,IGARCH M模型要略优于EGARCH M模型。In this paper we illustrate that there is GARCH phenomenon in shangzheng index and shenzheng index. We establish the IGARCH(1,1) M model and EGARCH(1,1) M model. After compareing the IGARCH(1,1) M with the EGARCH(1,1) M model, we conclude that the IGARCH(1,1) M model have almost the same efficacy with the EGARCH(1,1) M model in Shanghai market and the IGARCH(1,1) M model is a little better than the EGARCH(1,1) M model in Shenzheng market. Then we forecast the volatility of the two index’s returns.

关 键 词：中国 股票市场 风险 实证分析 上证指数 深证成份指数 IGARCH-M模型 EGARCH-M模型 波动率 收益率 参数估计 

分 类 号：F832.51[经济管理—金融学] F224.0