沪港深股指波动相关性研究

Shanghai Harbor Deep Index Fluctuation Correlation Studies

基于GARCH模型的股指收益率序列有波动聚集效应,而针对不同的交易市场,沪港深股指波动系数又有所不同,运用波动相关系数来衡量各市场之间的差异。利用GARCH得到的股指波动率样本数据建立多变量VAR模型,根据VAR模型的性质,研究这种差异化存在的合理性。在实证研究中,选择沪港深市场2003年1月到2016年7月的月度股指数据,研究2008年金融危机前后一段时间的股指波动聚集现象,并探究股指波动相关性变化的过程。

Based on the GARCH model index yield sequence have volatility cluster effect,and according to different market,deep Shanghai stock index fluctuation coefficient is different,we use correlation coefficient to measure the difference between the market fluctuations.Using the volatility of the stock index sample data obtained from the GARCH multivariate VAR model is set up,according to the nature of the VAR model to study the differentiation the rationality of existence.Deep in empirical research,we choose Shanghai port market in January 2003 to July 2016 monthly stock index data,the research for a period of time before and after the financial crisis of 2008 stock index volatility clustering,and examines the process of stock index volatility correlation change.