基于经济政策不确定性的股市长期波动的混频测度与分析

Measure and Analysis the Stock Market Long-term Volatility with Mixed-Frequency Base on the Economic Policy Uncertainty

基于GARCH-MIDAS模型及其扩展模型对我国沪深300指数和经济政策不确定指数的关联性进行检验和分析,发现股市长期波动能够有效地刻画股市的长期波动特征,但相比短期波动而言,股市长期波动相对平稳且具有显著的逆周期特征,基于经济政策不确定性指数所测度的股市长期波动对股市预期波动的整体贡献率相对较低,但是在股市波动的平稳期的贡献较大,是股市波动的重要因素。

In this paper, we tests and analyzes the relationship between CSI 300 Index and the economic uncertainty index based on the GARCH-MIDAS model and its extended models.The results show that the long-term fluctuation of the stock market can effectively describe the long-term fluctuation characteristics of the stock market.However, the long-term volatility of the stock market is relatively stable and has significant counter-cyclical characteristics.The overall contribution rate of stock market volatility based on economic policy uncertainty index is relatively low, while the contribution of stock market fluctuation is relatively large, which is an important factor in the stock market volatility.