基于GARCH类模型对比分析中美两国科技企业股票数据的实证分析  

Comparative Analysis of Stock Data of Technology Enterprises in China and the United States Based on GARCH Model

作　　者：李彪 

机构地区：[1]华南农业大学数学与信息学院,广东 广州

出　　处：《统计学与应用》2023年第2期318-326,共9页Statistical and Application

摘　　要：中美斗争的加剧,致使人们开始全面审视美国和中国这两个世界最大经济体在技术上的对抗。科技公司在股票市场上的波动不仅代表其科技实力,而且也能反映出所在国家对科技发展的支持力度。本文分别分析了中美两国各具有代表的两家上市科技公司,用GARCH族模型分别拟合四只股票的收益率序列。研究发现,中国的科技公司股票收益率序列的波动性要高于美国,且基于t分布的EGARCH模型能够较好地拟合属于中国的科技公司股票,而基于正态分布的TGARCH模型更适用于拟合属于中国的科技公司股票。结果表明,GARCH族模型对科技类股票波动率建模具有较好的拟合效果,且基于中美科技股票的对比分析,为中美在科技方面对比提供了例证。The intensification of the Sino-US conflict has led to a comprehensive review of the technological confrontation between the United States and China, the two largest economies in the world. The fluctuations of technology companies in the stock market not only represent their technological strength, but also reflect the support of their countries for technological development. This paper analyzes two listed technology companies in China and the United States, and uses the GARCH type models to fit the return series of four stocks. The study found that the volatility of the stock return series of Chinese technology companies is higher than that of the United States, and the EGARCH model based on t distribution can better fit the stocks of Chinese technology companies, while the TGARCH model based on normal distribution is more suitable for fitting the stocks of Chinese technology companies. The results show that the GARCH type models have good fitting effect on the volatility modeling of technology stocks, and based on the comparative analysis of technology stocks between China and the United States, it provides an example for the comparison of technology between China and the United States.

关 键 词：GARCH类模型 科技公司 波动率 中美对比 

分 类 号：F83[经济管理—金融学]