上证指数收益率波动的实证分析:基于ARCH族模型

An Empirical Analysis of the Shanghai Index Return Volatility:Based on ARCH Models

股价指数的收益率序列具有时变波动性、厚尾特征、波动性群集等特点,传统的计量分析无法刻画这些特点。文章利用ARCH族模型,选取2003年1月20日～2013年12月12日上证指数每日收益率共2621个数据对其波动进行定量与定性的分析,结果显示,上证指数日收益率存在高阶的ARCH效应,杠杆效应,波动集聚性特征,条件方差对日收益率有很强的影响,其中EGARCH模型在反映股市波动性方面优于其他模型。

Stock index return series has volatility, the fat tail, volatility clustering and other characteristics, traditional econometric analysis can not characterize these characteristics.This paper uses ARCH models, selects the January 20, 2003 - December 12, 2013, the Shanghai index daily yield of 2621 to analyze quantitative and qualitative data to its volatility, the results show that the Shanghai index daily return exists ARCH-order effect, leverage, volatility clustering feature, conditional variance has a strong impact on the daily yield, which reflects the EGARCH model in terms of stock market volatility than other models.