基于GARCH模型的上证综指日收益率波动特征研究

文章以上证综指为研究对象，运用GARCH模型对2005--2007年上海A股市场日收益率的波动情况进行了实证研究。研究表明：上海A股市场具有明显的ARCH效应；股指价格的一阶差分并不具有正态分布的特性股指收益率具有平稳性特征，具有显著的“尖峰厚尾”现象，存在波动的集簇性；市场具有“长记忆”的特征。同时，经过比较得出EGARCH（1，1）模型最能模拟上证综指日收益率波动实际。另外，收益率波动并不具有明显的“杠杆效应”，且不支持风险溢价理论。

Volatility Character Study of Shanghai Index Daily Return Based on the GARCH Model

This paper is an empirical study that using GARCH model to the return rates of volatility in Shanghai stock market in 2005-2007 with the Shanghai composite index as the research object. Research shows that the Shanghai A-share market has the ARCH effect obviously and stock prices first-order differential does have not normal distribution characteristics. Stock index return rates have fited characteristics, which is a significant ＂rush thick tail＂ phenomenon, existing volatility clustering, and the market have ＂long memory＂ characteristics. Meanwhile, after comparing, EGARCH （1, 1） can mostly on behalf of the Shanghai composite index volatility, besides, the day returns volatility have not the ＂leverage effect＂ obviously, and does not support the risk premium theory.