ARCH族模型在上证收益率变动中的实证研究

股票价格的频繁波动是股票市场最明显的特征之一。利用ARCH模型及其扩展模型对上证综合指数的波动性进行实证研究,结果发现,我国上海股票市场收益率序列有明显的尖峰厚尾性、波动聚类性、非正态性以及存在条件异方差特性,波动的信息不对称性等特点。

The frequent flu ctuations of stock prices is one of the most obvious characteristics of the stock market.To empirical study with fluctuation of ARCH model and its expansion models on the volatility of Shanghai Stock Index,the results show that the return volatility in Shanghai stock market has the fat-tail distribution,volatility dustening,non-nomality,conditional heteroskeda sticity and vola tility asymmetry and other characters.