基于HAR-RV-J-ARCH模型的中国股票市场异质性研究

Research on the Heterogeneity in Chinese Stock Market Based on HAR-RV-J-ARCH Model

针对中国股票市场的异质性现象,提出HAR-RV、HAR-RV-J以及HAR-RV-J-ARCH这3种模型进行研究;采用最小二乘法结合Newey West协方差形式进行参数估计再进行预测,并比较3种模型拟合效果和预测效果;实证结果得出股票市场收益波动率的异质性主要是由月波动(长期交易者)和跳跃波动决定,日波动(短期交易者)和周波动(中期交易者)影响效果较小,并且HAR-RV-J-ARCH模型拟合效果更好;结果表明HAR-RV-J-ARCH模型能较好地描述股票的异质性现象。

HAR-RV,HAR-RV-J and HAR-RV-J-ARCH are proposed for the heterogeneity in Chinese stock market,and the least square method is used to combine the Newey West covariance to estimate the parameters for forecasting and then to compare the fitting effect and forecasting effect of the three models. The empirical results show that the heterogeneity of the return volatility of the stock market is mainly from monthly fluctuation（ long-term trader） and jump fluctuation but daily fluctuation（ short-term trader） and weekly fluctuation（ middle-term trader）have small effect,and that HAR-RV-J-ARCH model has better fitting effect. The results indicate that HAR-RV-JARCH model can better describe the heterogeneity in stock market.