基于多元GARCH模型的沪深股市波动性研究

A Research on the Fluctuation of Shanghai and Shenzhen Stock Market with Multivariate GARCH Model

选取上证综合指数和深证成分指数,分别使用多元对角VECH-GARCH模型和多元非对称BEKK-GARCH模型建模,对我国沪深股市之间的波动相关关系及波动溢出效应进行了实证研究。结果表明,中国沪深股市之间波动的相互影响是持久的,波动呈现出趋同现象;存在显著的双向波动溢出效应,而且上证股市对深证股市的波动溢出效应比深证股市对上证股市的波动溢出效应更显著,存在波动传导的不对称性。

Picking the Shanghai composite index and Shenzhen stock exchange component index and Using multi- variate diagonal VECH - GARCH model and multivariate asymmetric BEKK - GARCH model separately to make an empirical analysis on relation of fluctuated correlation and effect of fluctuated spiUover between Shanghai stock markets and Shenzhen stock markets. The Conclusion shows that the mutual effect of Fluctuation between Shanghai and Shenzhen stock markets is sustained, present a convergence phenomenon, and there is a bi - directional fluc- tuated spillover effect. Fluctuated spillover effect from Shanghai stock remarket to Shanghai stock market is more re- markable than fluctuated spillover effect from Shenzhen stock market Shanghai stock market. And there is an asym- metry of fluctuation conduction.