上证180指数的GARCH族模型仿真研究--对上证300指数的间接实证建模分析

Emulation for the Shanghai 300 Stock Price Index Through the Shanghai 180 Stock Price Index by GARCH-Class Models

本文旨在运用GARCH族模型对即将作为股指期货标的物——上证300指数进行间接实证建模研究。本文使用上证180指数研究上证300指数具有可行性。分析结果表明:上海股市股价波动确实存在显著的GARCH效应和冲击持久效应,并存在较弱的杠杆效应;收益率条件方差序列是平稳的,模型具有可预测性,GARCH-M(1,1)模型可以很好地拟合与预测上证180指数。该仿真模型可以较好地实现点对点的长期高精度预测,克服了传统预测模型只能进行短期预测的缺陷。这不仅对于投资者规避风险,开拓利润空间,而且对于我国资本市场的稳健发展,都具有重要的理论与实践指导意义。

This paper conducts the real modeling research on the Shanghai 300 stock price index indirectly which will be the stock subject matter in stock futures market in China utilized the GARCH - class models through the Shanghai 180 stock price index. The empirical results had indicated that stock price undulation in the Shanghai Stock market has the remarkable GARCH effect and the impact lasting effect truly, and discovers the existence weak release leverage effect; the returns ratio condition variance sequence is steady, the model has the predictability, GARCH - M （ 1,1 ） model may well in the fitting and the forecast the Shanghai 180 stock price index. This simulation model may realize the point- to -point long -term high accuracy to forecast well that, overcame the tradition forecast model only to be able to carry on the short - term forecast the flaw. Not only this dodges the risk regarding the investor, developing the profit space, moreover regarding our country capital market steady development, all has the important theory and the practice guiding sense.