基于结构转换GARCH模型的中英股市波动率研究

Regime-switching GARCH Model on the Volatility of Chinese and British Stock Market

利用马尔可夫转换GARCH模型分别对上证综指和富时指数进行分析,并对两个市场指数进行对比研究.结果表明,当残差项服从t分布时,该模型能够更好地拟合上证综指和富时指数.同时,上证综指和富时指数都以中低波动为主,但是富时指数的波动周期明显要比上证综指的波动周期长.

Regime-switching GARCH model is used to study both Chinese Shanghai Composite Index and British FTSE Index.The results have shown that when the error follows the student-t distribution,these two stock data can be better measured.Besides,these two indexes both have the characteristics of low and median volatility.In terms of the period,FTSE Index shows longer volatility time.