摘要
本文基于交易所债券市场开展研究,在对上交所国债市场、交易所企业债市场、交易所转债市场和上交所国债回购市场,以及作为对比的上海股票市场综合指数日收益率序列分布作了广义误差分布(GED)的假设基础上,深入地探讨了各市场日收益率拟合最优的EGARCH模型的阶数,度量了各市场综合指数日收益率序列经过EGARCH回归后的残差的波动性,并分析和比较了各市场日收益波动性的风险特征,最后,根据实证分析得出的结论,提出了若干投资和政策建议。
Based on the hypothesis of the Generalized Error Distribution (GED) the paper studies the index return of treasury bond market, corporation bond market, convertible bond market, treasury bond repurchasing market in Shanghai Stock Market, the authors probed into the rank of optimal EGARCH model of return series daily at every market, analyzed the residual volatility of each index return series regressed by EGARCH model, compared the price volatility characteristic about each market. Finally, according to the conclusion drawn from above positive analysis, some suggestions about related financial investment and policy are put forward.
出处
《金融研究》
CSSCI
北大核心
2004年第12期89-96,共8页
Journal of Financial Research
基金
本文得到了国家社会科学基金(项目编号02BJY125)的资助。
