沪深300指数的ARCH效应

ARCH Effects of Shanghai and Shenzhen 300 Index

股价指数的收益率序列具有时变波动性、厚尾特征、波动性群集等特点,传统的计量分析无法刻画这些特点。通过对即将推出的股指期货的标的指数—沪深300指数的收益率序列进行ARCH效应分析,采用ARCH模型及其扩展形式对沪深300指数的波动性进行实证分析,结果表明沪深300指数的收益率序列是有偏的,并具有尖峰厚尾的特点。同时也具有波动的群集性和不对称性的特点。

The series of rate of return of stock price index has the characteristic of high kurtosis and fat tail, volatility clustering, and traditional econometrics doesn＇t describe these characteristics. This paper analyzes the ARCH effects on the rate of return of Shanghai and Shenzhen 300 stock price index which is the object of stock price index futures, and uses the of rate of return of Shanghai and Shenzhen 300 index is biased, high kurtosis and fat tail, volatility clustering and asymmetric.