| 上证50指数收益率特征及其波动性分析 |
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| 引用本文： | 梁福涛. 上证50指数收益率特征及其波动性分析[J]. 商业研究, 2006, 0(17): 156-159 |
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| 作者姓名： | 梁福涛 |
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| 作者单位： | 上海财经大学,金融学院,上海,200433 |
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| 摘 要： | 研究国内非综合指数即成份指数(上证50指数)的收益率特征及其波动性,可以估计得出对指数风险收益具有较好预测作用的自回归———GARCH(1,1)-M模型,并实证分析指数收益的风险特性、稳定性、波动性等特征,这对当前探讨上证50指数相关指数衍生品推出及其投资分析均具有重要意义。
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| 关 键 词： | 上证50指数 波动聚类性 bata值 GARCH模型 |
| 文章编号： | 1001-148X（2006）17-0156-04 |
| 收稿时间： | 2005-11-14 |
| 修稿时间： | 2005-11-14 |
A Statistical Analysis on Return Rate and Volatility of Shanghai Stock 50 Index |
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| LIANG Fu-tao. A Statistical Analysis on Return Rate and Volatility of Shanghai Stock 50 Index[J]. Commercial Research, 2006, 0(17): 156-159 |
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| Authors: | LIANG Fu-tao |
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| Affiliation: | School of Finance, Shanghai University of Science and Economics, Shanghai 200433, China |
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| Abstract: | The volatility clustering of stock prices is one of the most obvious characteristics of the stock market.The paper positively analyzes the characteristics of China SS 50 index yield,specializing in the volatility clustering and risk structure.Suitable GARCH(1,1)-M model is built for forecasting the risk yield of SS 50 index.These are of importance to investing in index and introducing a new-type index derivative product. |
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| Keywords: | Shanghai Stock 50 Index volatility clustering data GARCH model |
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