我国股市波动的ARCH类模型分析

An Analysis of Stock-market Volatility in China Based on ARCH Models

股票价格的频繁波动是股票市场最明显的特征之一。 ARCH类模型可以成功地预测金融资产收益率的方差。通过对我国股价指数的统计描述 ,表明我国金融资产收益率存在自回归条件异方差特征 ,并表现出非正态性。利用 ARCH类模型对深圳成份指数的波动进行拟合 ,结果表明 。

Frequent volatility is a feature of stock market. ARCH models are often used to forecast the variance of the benefit of financial capitals. Statistic descriptions indicate that the benefit of financial capitals in China has the characteristic of autoregressive conditional heteroskedasticity and abnormality. The ARCH models by Eviews are adopted in this paper to forecast the variance of the benefit of financial capitals. Results obtained show that the EGARCH model is a better model for frequent volatility of stock market in China.