深市股指波动性的实证研究

The Volatility of Shenzhen Stock Index

运用GARCH类模型对我国深市的两个股指日收益率的波动性进行研究,主要回答了中国股票市场是否存在GARCH效应,对于所选的两个股指的波动率,最适合的GARCH模型是什么2个问题。计算结果显示,对深证综指日收益率的波动而言,EGARCH-M(1,1)模型的拟合效果较好,而GARCH-M(1,1)则能较好地拟合深证成指日收益率的波动。同时,还对这两个股指日收益率的波动率进行了预测。

In this paper,we research the volatility of two Stock Index rates in Shenzhen’s Stock Market by using the group of GARCH model and answer the following two questions：1.Does China’s Stock Market exist GARCH effect？ 2.For the choice of the volatility of two Stock Index rates,which is the most suitable GARCH model？ Results show that EGARCH-M（1,1）can fit for the Shenzhen Composite Index well,while GARCH-M（1,1）provides good fitting for the volatility of the Shenzhen Component Index.Then we forecast the volatility.