我国证券市场收益波动度及相关性分析

The Return Volatility and Correlation Analysis in Our Country's Stock Market

本文以沪深两市A股指数为样本 ,采用GARCH(1,1)模型 ,研究收益波动度的性质特征 ,并探讨两市场波动度的相关关系。实证结果表明 ,两市收益率存在尖峰厚尾与波动集簇等ARCH特征 ,它们的波动度存在Granger的因果关系 ,在预测时应综合考虑两市的市场走势。

Based on the Index of Stock A both in Shanghai and Shenzhen Stock Exchanges,and by using the GARCH(1,1) model , this paper studies the return volatility's characteristics and explores the relative relations between the two stock exchanges.The results of the study demonstrate that there exist the ARCH phenomenon such as volatility conglomeration both in Shanghai and Shenzhen Stock Exchanges.Their volatility has the causality of Granger and the market trends should be considered when making a prediction.