基于小波方差的沪深两市的收益率波动性分析

Analysis of Shanghai and Shenzhen Stock Return Volatility Based on Wavelet Variance

本文基于小波方差对沪深两市指数的收益率进行月波动性分析,结果表明,股市收益率的月波动性会受到季节变化的影响,不同尺度下的月波动性呈现出相似的变化趋势.

This paper analyzed the month volatility of Shanghai and Shenzhen stock return based on wavelet vari- ance. The result shows that the month volatility of the stock return is affected by the variety of season and the month volatility on the different scale has a similar variety trend.