我国沪、深股市的波动性研究——基于GARCH族模型

金融市场的波动性不仅是投资者关注的焦点之一,而且也是被研究的热点之一。中国股市还非常年轻,股票市场的价格常常表现出大幅波动的特征。本研究以上证综合指数和深圳成分指数为研究对象,分别运用GARCH模型、TARCH模型和EGARCH模型同时拟合,并对比分析了中国股市日收益率波动的动态特征;结果显示,EGACH模型能更有效拟合股市的波动性。

Empirical Study on Volatility of the Shanghai and the Shenzhen Stock Markets——Based on GARCH Models

The volatility of the finance market is not only one of the focuses of the investors,but also one important research point.Chinese stock market is still young,and the prices often fluctuate intensively.This paper studied on shanghai composite index and Shenzhen component index,and used GARCH,TARCH and EGARCH models respectively to simulate and compare the characteristics of the volatility of stock markets daily return rates simultaneously.The result shows that EGARCH can simulate the volatility of the stock markets better.