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中美股市波动性研究与杠杆效应——基于GARCH模型的实证分析

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摘要 文章在回顾ARCH/GARCH类模型的基础上,用GARCH模型进行美国股市波动性与中国股市波动性的实证研究,用EGARCH模型进行股市波动的非对称性实证研究。结果表明,GARCH模型能消除残差的异方差性,股市波动存在强烈冲击,收益有正的风险溢价,股市中坏消息引起的波动比同等大小的好消息引起的波动要大得多,存在明显的杠杆效应,中国的杠杆效应小于美国的杠杆效应。
作者 孙梦鸽
出处 《丝路视野》 2016年第32期5-7,共3页 The Silk Road Vision
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