沪深300指数收益率波动性研究

Research on the Variability of the Rate of Return of Hu-Shen 300 Index

沪深300指数是我国第一个统一的股价指数,能够充分代表沪深市场股价变动情况。对沪深300指数的收益率进行了描述统计分析和ARCH效应检验,结果表明,沪深300指数收益率序列是平稳的,但不服从正态分布,具有"尖峰厚尾"的特点且存在ARCH效应。进而用GARCH(p,q)模型、GARCH-M模型对沪深300指数收益率及其方差进行了拟合,并用TARCH模型和EGARCH模型检验收益率的非对称性,结果表明不存在杠杆效应。根据GARCH模型对沪深300指数收益率拟合的结果,运用蒙特卡罗方法对收益率进行了模拟。

Hu-Shen 300 Index is the first unifined stock index in China,and it is a good representation of the variation of Shanghai and Shenzhen stock markets.This paper analyzes the descriptive statistics of the rate of return of the index and makes ARCH-test to the index.The result shows mat the time series of the rate of return is stable,but its division is not normal and has a sharp peak and fat tail,and the ARCH effect exists.Then,GARCH(p,q)model and GARCH-M model are used to set models to the rate of return and its variance,while TARCH model and EGARCH model are used to test the asymmetry of the rate of return and indicates that there is no leverage effects.According to the results of the estimated GARCH model,a series of rate of return is simulated by Monte Carlo Method.