基于GARCH模型的沪深股市分析

Analysis on Shanghai and Shenzhen Stock Markets Based on GARCH Models

利用我国沪深股市2007年7月1日至2010年7月1日的收盘指数,对沪深股市的波动性、收益率及其相关性进行了实证分析研究。研究表明,沪深两市具有明显的GARCH效应,而且两市之间具有联动性。

The samples of the close prices for the SSE composite index and the SZSE component index from Jul.1,2007 to Jul.1,2010 are taken to study the rate of return and volatility in Shanghai and Shenzhen stock markets with the GARCH model.Analysis shows that the relation of Shanghai and Shenzhen stock markets is close.