基于GARCH族模型的深证成分指数波动性研究

Research on Fluctuations in the Shenzhen Stock Market Using GARCH Model

基于GARCH族模型对深证成分指数的波动性进行实证研究。用学生-t分布的GARCH(1,1)模型分析了尖峰厚尾和波动聚集特征,用基于CED分布的GARCH-M(1,1)模型研究了风险溢价情况,以及用基于标准正态分布的EGARCH(1,1)模型分析股市波动的杠杆效应。结果显示,残差确实存在异方差性,股市中收益与风险成正比,同等单位的利空消息对股市冲击更大。最后根据实证研究给出结论与建议。

This article is based on GARCH Models volatility Shenzhen Component Index of empirical research. GARCH model with Student -t dis- tribution are used to analyze the fat tail and volatility clustering characteristics. Using GARCH-M （1, 1） model based on the distribution of the CED to study the risk premium, and based on the standard normal distribution of EGARCH （1, 1） model to analyze the stock market volatility ol leverage. The results show that the existence of residual heteroscedastieity, and the risk is proportional to the stock market earnings. The fluctuations in the stock market caused by Bad news are big than the fluctuations caused by same size good news. Finally, this paper gives some relevant conclusions and recommendations in the end.