金融市场波动性的拟合分析

Simulating and Analyzing the Volatility of Financial Market in China

金融市场的波动性是投资者关注的对象之一,也是被研究的热点。本文检验了我国股市的ARCH效应和序列相关性。并且在此基础上,将AR-IGARCH-M模型应用于上海综指和深圳成指,结果表明该模型能有效拟合我国深沪两股市的波动性。最后,针对结果分析了我国的股市行为。

The volatility of financial market is always one of objects concerned by investors,and also is one of hotpots for researchers.In this paper,ARCH effects and serial correlation of stock returns are tested. AR-IGARCH-M model is applied to Shanghai and Shenzhen stock indexes.The empirical study demonstrates the model can successfully simulate the volatility of financial market in China.Finally,with regard to the results,we make an analysis of the stock market in out country.