股票收益随机波动模型研究

The Stochastic Volatility Model for Stock Return

通过对金融资产时间序列数据特点的分析,指出GARCH模型在描述金融资产时序数据的局限,尝试用随机波动模型刻画股票收益的波动规律,采用GMM方法估计模型参数,并以上海证券交易所综合指数日收益率数据为样本,对沪市指数收益波动进行实证研究,探讨涨跌停板制度对股市波动的作用。

Analyzing the characteristics of financial data and pointing out the drawbacks of GARCH models,the paper describes the volatilities of daily stock return by stochastic volatility model and employs GMM to estimate the parameters in the model.In the final,the paper carries out a emprical analysis of daily stock return volatilties in Shanghai stock market to figure out the effects of price limits posed on daily price of stocks listed in Shanghai Stoke Exchange on volatility and distribution pattern of stock return.