“中小板”市场“牛市”和“熊市”的波动非对称性研究

Study of the Volatility Asymmetry Based on "Bull" and "Bear" Market in "Small Plate" Market

运用广义误差分布的EGARCH(1,1)模型,分析中小板市场"牛市"和"熊市"行情(即样本)的波动非对称性。主要结论有:在牛市、熊市中等量"利好"消息与"利空"消息对股市产生的冲击是不对称的:在牛市中,"利好"消息对股市的影响要比相同力度的"利空"消息影响大;在熊市中,"利空"消息对股市的影响要比相同力度的"利好"消息影响大;中小板市场的波动性较大。

In this paper,We analyses the volatility asymmetry of the ＂bull ＂ and ＂bear＂ market（i.e.sample）,using generalized error distributed EGARCH（1,1） model in Small plate market.The main conclusion includes：It is the volatility Asymmetry of the good and bad news in the bull and bear market;The positive impact has a bigger volatility than the negative impact in the bull market;The negative impact has a bigger volatility than the positive impact in the bear market.the volatility of the stock price is bigger in Small plate market,