上证指数收益率的ARCH族模型与实证分析

GARCH Model of Shanghai Stock Index Return and Empirical Analysis

应用广义自回归条件异方差GARCH模型对上海股市1999年6月30日至2007年6月29日上证指数收益率进行建模分析.结果反映上证指数收益率具有明显的聚集性、波动性、尖峰厚尾的特征,ARCH族模型较好的拟合了上证指数收益率序列.

GARCH model has been used to made an empirical analysis of Shanghai stock index return from June 30,1999 to June 29,2007,the results show that the return is of striking aggregation,volatility and sharp peak and thick tail and that GARCH model is well conforming to Shanghai stock index return sequence.