汇率对我国股市波动预测的影响

The Effect of Exchange Tate on the Forecasting Volatility of Chinese Stock Market

针对当下股市与汇市关系日益密切的现状,以汇率和沪深300指数为研究对象,运用时变马尔科夫EGARCH(TVTP-MSEGARCH)模型探索了汇率对我国股市波动预测的影响。根据MCS检验和SR统计量,与传统GARCH、EGARCH和FTP-MSGARCH模型的样本外预测能力进行对比分析。实证结果表明:我国股市存在结构转换行为;汇率可以影响我国股市不同结构间的转移概率;包含汇率的TVTP-MSEGARCH模型在对我国股市波动的预测方面显著优于传统GARCH、EGARCH和FTP-MSGARCH模型。

In view of the current situation of the increasingly close relationship between the stock market and the foreign exchange rate,this article examine the impact of exchange rate on the CSI 300 volatility forecasting by using the TVTP-MSEGARCH model.The out-of-sample predictive ability is compared between the traditional GARCH,EGARCH and FTP-MSGARCH models through the MCS test and SR statistic.The empirical results indicate that,there exists regime switching behavior in our stock market;The exchange rate has a significant role in determining the transition probability of our stock market across different regimes;The TVTP-MSEGARCH model including the exchange rate outperforms the traditional GARCH,EGARCH and FTP-MSGARCH models in predicting the volatility of chinese stock market.