GARCH-M模型与我国沪深股市的波动

GARCH-M Model and the Volatility in Hu-Shen Stock Market

运用多元GARCH-M模型对我国沪、深股市的期望收益率与 风险以及两市波动之间的相互影响关系进行了实证性研究，发现我国股市风险和期望收益之 间无显著关联，但两市波动之间存在着相互影响的关系。同时，沪、深股市波动具有群集性 和持续性。

This paper uses the Multivariate GARCH -M model to investigate if the volatility influences expected returns and the degr ee of interdependence of stock markets of Shanghai and ShenZhen . We find that there is no significant relation between conditional market volatility and expected r eturns. But there exists strong time-varying conditional volatility in the two s tock markets,and it shows that the stock markets' volatility has the property of clusting and persistence.