中国股市波动的CARR模型分析

ARCH/GARCH模型在波动性的预测已被学者广泛使用并在实证上得到良好的效果。本文以上海股市为研究对象,分别运用CARR模型和GARCH模型进行波动性预测,进而对两种方法的预测能力进行比较,实证结果表明CARR模型在拟合波动性方面优于GARCH模型。

A Study of the Volatility in Stock Market of China - The CARR Model

ARCH/GARCH family models have been used in the forecast of volatilities,and have performed well in many empirical studies.Recently,Chou(2001) proposed the CARR(Conditional Auto-Regressive Range) model as an alternative volatility model.The main concept of the CARR model is to use a simple dynamic structure for range to characterize the volatility process.We separately use CARR and GRCH models to forecast the volatilities of Shanghai stock index,and compare the forecasting power of these two models.The empirical results support that the CARR model is preferable to the GARCH model in the volatility forecasting.