TARCH-M模型在上证指数波动率的实证分析

Empirical Analysis on Volatility Rate of SSE Index with TARCH-M Model

本文应用TARCH-M模型,并且引入迭代累计平方和(ICSS)法则对上证指数进行波动时段进行划分,针对不同波动时段分析其上证指数日收益率上涨和下跌对上海股票市场非对称的影响特点.结果表明,上海股市在1997年以前,收益率的上涨比下跌对股市造成的影响更大,即与通常定义的“杠杆效应”相反;而在1997年以后,其“杠杆效应”才显著.此外,收益率和波动性在后两阶段出现明显的正相关关系,说明了投资者正从以前盲目投资逐渐转变为理性投资,上海股市已日趋成为一个成熟的市场.

This paper applies TARCH-M Model to divide SSE index into different fluctuation stages by introducing ICSS and analyses the asymmetric influence characteristics to Shanghai stock market by the highs and lows of daily yield of SSE index in different stages. The result shows that the rise of yield made more influence on Shanghai stock market than the fall of yield before 1997, which was opposite to the usual ＂Leverage Effect＂; however, the ＂Leverage Effect＂ became significant after 1997. Moreover, the yield and volatility present apparent positive correlation on the later two stages, which demonstrates that investors have transferred from unrealistic investment to rational investment, and Shanghai stock market is becoming a mature stock market.