| 上证指数收益率的特征及其波动性分析 |
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| 引用本文： | 英英,张勇,吴润衡.上证指数收益率的特征及其波动性分析[J].统计与信息论坛,2005,20(2):63-67. |
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| 作者姓名： | 英英 张勇 吴润衡 |
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| 作者单位： | 1. 北方工业大学,经济管理学院,北京,100041
2. 北方工业大学,理学院,北京,100041 |
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| 基金项目： | 北京市教委科技发展项目，项目编号为:KM200410009004 |
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| 摘 要： | 股票价格的频繁波动是股票市场最明显的特征之一。ARCH类模型可以很好地预测金融资产收益率的方差。通过对上证指数的统计分析表明,上证指数的收益率分布表现出非正态性,并存在自回归条件异方差的特征。利用ARCH类模型对上证指数的波动进行了拟合,结果表明GARCH(1,1)模型对上证指数波动具有较好的拟合效果。
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| 关 键 词： | 股市波动 聚集性 ARCH模型 |
| 文章编号： | 1007-3116(2005)02-0063-05 |
| 修稿时间： | 2004年5月16日 |
A Statistical Analysis on the Rate of Return and its Volatility of Shanghai Stock Index |
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| Ying Ying,ZHANG Yong,WU Run-heng.A Statistical Analysis on the Rate of Return and its Volatility of Shanghai Stock Index[J].Statistics & Information Tribune,2005,20(2):63-67. |
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| Authors: | Ying Ying ZHANG Yong WU Run-heng |
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| Institution: | YING Ying~1,ZHANG Yong~2,WU Run-heng~2 |
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| Abstract: | The volatility clustering of stock prices is one of the most obvious characteristics of the stock market. The variance of the rate of return on financial assets can be well predicted by ARCH Models. According to statistical analysis on Shanghai stock index, the distribution of the rate of return is non-positive skewed, and there exists an autoregressive heteroskedasticity in the rate of return. This paper simulates the volatility of Shanghai stock index by ARCH Models and the result shows that GARCH (1, 1) model is effective in the simulation of the volatility of Shanghai stock index. |
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| Keywords: | Volatility in Stock Market Volatility clustering ARCH Model |
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