基于风险预期的深市收益率预报研究

Forecast Stock Market Returns of Shenzhen Based on Risk Anticipation

在预报股市收益率时考虑到股市风险波动及其结构性变化对股民心理预期的影响,采用状态空间理论将静态风险溢价GARCH-M模型改进为动态风险溢价模型。以中国深圳股市作为算例,研究了2006年1月至2008年8月深市风险的波动及股民风险预期的变化,并据此模拟了深市2008年8月的收益率,结果表明改进模型解释力更强,拟合精度更高,比一般的GARCH-M预报结果更准确。

Considering the risk of stock market and the influence of the structural change of the market to the stock holder＇s psychological anticipation, the author uses state space theory to improve the GARCH-M to dynamic GARCH- M model. This paper takes the influence into consideration during forecasting stock market returns. The improvement model has higher fitting precision, whose forecast results are more accurate than the common GARCH- M.