运用ARCH类模型研究上证基金市场的波动性

Study on the Fluctuation of Shanghai Security Fund Market on the Base of ARCH model

2006年基金业表现辉煌,但基金市场的收益率也呈现出一定的波动性。选取上证基金指数为研究对象,运用ARCH模型族对指数收益率的波动性进行实证分析,并对波动性进行了预测,结果表明,GARCH(1．1)模型对上证基金指数的波动具有很好的拟和效果;指数收益率表现出非正态性和波动的集聚性的特征;在未来一段时期内,基金收益率的波动性会减小。

The fund industry performance was glorious in 2006, but the rate of return of the fund market also presented a certain motion. The certificate fund index number is a research object on the selection, the usage ARCH model clan carries on the substantial evidence analysis to the motion of the index number rate of return, and carried on the estimate to the motion, the result enunciation, the GARCH（1,1）model has to the motion of the top certificate fund index number good draw up and result; the index number rate of return expresses the not positive state of and undulates of gather together the characteristic of sex; in a period of future, the motion of the fund rate of return will let up.