对中证500指数波动性的分析研究——基于ARMA-GARCH族模型

A Study on Volatility of CSI 500 Index Based on ARMA——GARCH Model

以中证500指数收益率为研究对象,利用不同假设分布的GARCH族模型对收益率波动性进行分析。结果表明:收益率序列存在明显的波动集群现象,而且并非正态分布;基于t分布下的ARMA(1,1)-GARCH(1,1)模型可以较好的描述收益率序列的波动集群现象;基于GED分布的ARMA(1,1)-EGARCH(1,1)模型则是最佳模型,同时说明了中证500指数收益率存在杠杆效应,且利空消息影响大于利好消息。

This paper makes the return of the CSI 500 index as the research object and uses the GARCH model with different assumptions to analyze the volatility of returns. It shows obvious volatility clustering in return series, and it is not normal distribution. In this paper, the ARMA（1, 1）-GARCH（1, 1） model with t distribution can describe the volatility clustering of return series. The ARMA（1, 1）-EGARCH（1, 1） model based on the GED distribution is the best model, and shows that the return of the CSI 500 index exist leverage effect, and bad news always cause a large fluctuation than good news.