| 中国股票市场波动性研究：模型选择及实证 |
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| 引用本文： | 李红霞.中国股票市场波动性研究：模型选择及实证[J].广东金融学院学报,2007,22(5):31-35. |
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| 作者姓名： | 李红霞 |
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| 作者单位： | 中国人民银行,无锡市中心支行,江苏,无锡,214031 |
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| 摘 要： | 以日收盘数据计算出的市场日收益率作为研究的基础数据,利用准极大似然估计方法QML估计三种ARCH类模型(GARCH、T-GARCH和E-GARCH)对中国股市波动性与稳定性的运行效果进行了实证研究的结果,得出EGARCH(1,1)模型是最优的拟合模型。运用最优模型实证发现中国股市不仅波动性很大,而且波动是不对称的。
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| 关 键 词： | GARCH T-GARCH E-GARCH 上证综指 深证成指 |
Based on ARCH Models of the Empirical Research on Stock Market Volatility in China |
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| Li Hongxia.Based on ARCH Models of the Empirical Research on Stock Market Volatility in China[J].Journal of Guangdong University of Finance,2007,22(5):31-35. |
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| Authors: | Li Hongxia |
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| Abstract: | This paper has analyzed the empirical research of stock market volatility in our country applying ARCH kind models.According to the daily closing quotation data as the basic data of calculating the daily yield of the market,and has estimated five GARCH,T-ARCH,E-GARCH models making use of QML methods.Empirical studies demonstrate that EGARCH(1,1) model is the best fitting model.Besides,the impact of the market is symmetrical that come from Good news and bad news in the market. |
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| Keywords: | GARCH T-GARCH E-GARCH Shanghai Stock Composite Index Shenzhen Stock Composite Index |
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