基于GARCH模型的上证综合指数实证分析

Empirical Analysis about Shanghai Composite Index Based on GARCH Model

使用GARCH模型对上海证券交易所综合指数2000年1月4日—2009年10月14日的每日收盘价进行数量分析。分析结果显示:我国股市日收益率具有明显的异方差性、波动性、聚集性、持续性和杠杆效应。这表明外部因素对股市的冲击很大,收益率与风险不一定成正比。

With the GARCH model, this article made quantitative analysis on the daily closing prices of Shanghai Stock Exchange Composite Index from January 4, 2000 to October 14, 2009. The results showed that the daily yield of China＇ s stock market had obvious heteroscedasticity, volatility, aggregation, sustainability and leverage effect. This showed that the impact of external factors on the stock market was strong; the rate of return was not necessarily proportional to the risk.