基于GARCH族模型的中国股市农业板块研究

Research on Agriculture Industry of China Stock Market Based on GARCH Model

在分析沪深股市农业板块的尖峰厚尾特征后,分别应用GED-GARCH模型和正态分布下的GARCH模型对板块数据进行拟合。结果显示,GED-GARCH模型优于正态分布的GARCH模型。在用TARCH模型和GED-EGARCH-M模型分析数据时,发现农业板块具有杠杆效应且收益和波动之间存在显著关系,最后通过虚拟变量发现,中国股市农业龙头板块具有显著的周内效应:正的周二效应和负的周五效应。

Based on the analysis of skewness and kurtosis of agriculture industry of China stock market,GARCH model with the generalized error distribution is found better than GARCH model with the normal distribution.Then,fittings of TARCH model and GED-EGARCH-M model show that agriculture industry has leverage effect and significant relationship between returns and volatility.At last,we find that agriculture industry has significant day of the week effect by bringing dummy variables in GARCH model： positive Tuesday effect and negative Friday effect.