深证成指周收益率波动性的实证研究

Empirical Study on the Weekly Return Volatility of Shenzhen Stock Index

利用GARCH模型,对深圳成分指数的周收益率波动性进行了实证研究。以深证成指周收盘数据建立了GARCH模型,利用估计出的GARCH模型得到深证成指周收益率序列的条件方差的估计值,预测出深证成指周收益率序列未来若干期的条件方差。结果表明,深证成指周收益率序列的波动性可以用GARCH模型进行很好的拟合。

The volatility of Shenzhen Component Index on the weekly yield is investigated using GARCH model.The paper establishes a GARCH model based on the weekly closing quotation data of Shenzhen Stock Index,calculates the conditional variance of Shenzhen Stock Index weekly return series,and predicts the next several weekly conditional variance.The results show that the GARCH model can be a good fit to the weekly return series of Shenzhen Stock Index.