基于GARCH模型的股票指数收益率波动性分析

Based on the Stock Index Returns Volatility Analyze GARCH Model

我国沪深股市相似的结构和监管环境使得两市的收益率和波动性之间具有相互作用和影响.所以可以运用ARCH模型和GARCH模型,通过研究股票指数的波动,发现我国股票市场上下波动的不一致性,即利空消息比利多消息更加具有影响力;股票市场都存在明显的GARCH-M效应;且发现上海股票市场投资者的风险厌恶程度高于深圳市场投资者;深圳市场的股票波动会影响上海市场的的波动.据此提出了要健全股票市场信息披露制度、加强证券市场化和对投资者进行理性教育的建议.

Structure similar to that of Shanghai and shenzhen stock market in our country and the regulatory environment has the interaction between the yield and the volatility in the two cities and influence.So we can use the ARCH model and GARCH model,through the study of volatility,stock index found that Chinese stock market fluctuate inconsistencies,namely Billy more bad news on news more influential;The stock market are obvious garch-m effect;And found that the Shanghai stock market investors more risk-averse investors than shenzhen market;Shenzhen stock market fluctuation will affect the fluctuation in the Shanghai market.Accordingly put forward to improve the information disclosure[JP2]system,strengthen the securities market and stock market for investors to carry on the rational education.