房地产股市收益率波动的计量分析

Econometric Analysis on the Yield Rate Volatility in Real Estate Stock Market

为了对房地产股市收益率波动的计量进行详细分析,通过使用每日股票价格的最高价和最低价的平均值作为测度指标,计算收益率,并运用GARCH、TGARCH和EGARCH模型来研究房地产股市的波动性。结果显示,不同公司之间存在显著的条件异方差效应和显著的“杠杆效应”,股市受利空的干扰相对较小,不易于发生暴跌现象。

In order to conduct a detailed analysis on the measurement of the yield rate volatility in real estate stock market,we calculate the yield rate by using the daily average of the highest and lowest stock prices as a measurement index,by employing GARCH,TGARCH and EGARCH model respectively.The results show that there are significant conditional heteroscedasticity effect and leverage effect among different companies.The stock market is relatively less disturbed by short-term profit and is not easy to fall sharply.It can provide references for investors.