| 沪市主要板块指数市场波动实证分析 |
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| 引用本文： | 余国锐,季晓莉.沪市主要板块指数市场波动实证分析[J].武汉市经济管理干部学院学报,2011(5):56-58. |
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| 作者姓名： | 余国锐 季晓莉 |
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| 作者单位： | 云南师范大学,云南昆明650092 |
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| 摘 要： | GARCH—M模型通常应用于预期收益与预期风险密切相关的领域，根据金融理论股票的风险越大，其收益也就越高，故可认为股票收益的指数变动依赖于一个常数。利用GARCH—M模型和E—GARCH—M模型对沪市主要板块指数进行实证分析。结果显示沪市重要板块指数日收益率存在信息非对称效应、高风险对应高回报。
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| 关 键 词： | 指数收益率 EGARCH—M模型 非对称效应 |
Empirical Analysis of Volatility of Major Plates Index in Shanghai Stock Market |
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| YU Guo-rui,JI Xiao-li.Empirical Analysis of Volatility of Major Plates Index in Shanghai Stock Market[J].Journal of Wuhan Economic Administration Cadre's College,2011(5):56-58. |
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| Authors: | YU Guo-rui JI Xiao-li |
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| Institution: | (Yunnan Normal University ,Kunming, Yunnan, 650092,China) |
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| Abstract: | GARCH-M model and the EGARCH-M model are used to make empirical analysis to major plates index in Shanghai stock market.Results show that the Shanghai important plate index has asymmetric effects of information, and high risk corresponding with higher returns. |
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| Keywords: | the index return EGARCH-M model asymmetric effect |
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