基于状态转移ARCH模型的中国股市波动性研究  

Investigating on volatility of Chinese stock market by regime-switching ARCH model

作　　者：蒋祥林[1] 王春峰[1] 吴晓霖[1] 

机构地区：[1]天津大学金融工程研究中心

出　　处：《系统工程学报》2004年第3期270-277,共8页Journal of Systems Engineering

基　　金：国家杰出青年科学基金资助项目(70225002);国家自然科学基金应急研究资助项目(70041039);教育部跨世纪人才基金资助项目;教育部优秀青年教师教学科研奖励基金资助项目.

摘　　要：通过引入波动性状态转移的ARCH(SWARCH)模型对中国股票市场的波动性进行了研究.SWARCH模型较传统的ARCH类模型显著地提高了股票市场波动性的描述与预测能力.实证结果表明,促使中国股市低波动性状态向高波动性状态转移的主要原因是股市的政策因素,这与因为实体经济基础的变化而促使美国股市波动性状态转移有着本质的区别.In this paper, the volatility of Chinese stock market is investigated using the ARCH models with regime-switching in the volatility(SWARCH). The SWARCH models outperform the ARCH models in the description and the forecast capability of the volatility significantly. The paper analyzes the effect of the stock market policy of the government on the transition of the regine from the low volatility to high volatility, and the persistence of the regime in high volatility, which is different from the American stock market.

关 键 词：波动性 ARCH类模型 状态转移模型 

分 类 号：F830.91[经济管理—金融学]