基于非参数方法的A股指数估计

A-Share Index Estimation Based on Nonparametric Method

本文运用非参数方法,从三个方面对A股指数的估计进行了尝试。首先,从实证的角度出发,进行A股指数波动率的密度估计,验证了A股市场总体收益率的波动呈正态分布并具有较肥大的尾部特征;然后,用半参数估计方法和局部线性估计方法拟合了A股指数;最后,比较了OLS方法、半参数方法和局部线性方法估计的结果,并指出股指波动具有多尖峰形态特征。

This paper attempts to estimate A-share index by nonparametric econometric method in three aspects. Firstly, from empirical point of view, this paper finds out that the wave of earning rate of A-share market, as a whole, demonstrates normal distribution with a character of fatter tail based on density estimation of the wave rate of A-share index. Secondly, this paper fits A-share index very successively based on semi-parametric method and local linear method. Finally, it compares the results of OLS method, the semi-parametric method and the local linear method, and points out that volatility of A-share index shows spiking feature.