我国创业板市场波动的ARCH效应研究

Research on The ARCH Effect of The GEM's Volatility in China

相对于主板市场而言,创业板上市公司具有明显的高科技、高成长、波动性大等特点。ARCH类模型较好地拟合了资本市场中资产收益的"尖峰厚尾"、"波动率集聚"等一系列的特征,广泛应用于资产收益与波动率的分析。选取2010/6/1—2012/5/31的创业板指数日收盘价,运用GARCH族模型对我国创业板指数的日收益及波动率进行研究的结果表明,我国创业板市场存在明显的ARCH效应,且GARCH(1,1)、EGARCH(1,1)模型都能较好地拟合,而GARCH(1,1)-M在验证指数波动对收益影响却不显著,表明创业板市场收益与波动关联性不强。

Compared with the main-board market, corporations in the GEM have obviously high-tech, high-groth, high- volatility characteristics. Since the ＂fat tails＂, ＂volatility clustering＂ of the returns of the capital market are well fitted, the ARCH models have been widely used in the analysis of the assets＇s returns and volatility. Choosing GEM index ： 2010/6/1 - 2012/5/31, this paper made researches on the return and volatility of the GEM by way of the GARCH model. The results show that ARCH effect has been tested obviously in GEM, GARCH（ 1,1 ） model and EGARCH（ 1,1 ） model have been well fitted, while, GARCH-M model is not significant, meansing the relevance between the return and the volatility is not strong.