| GARCH-M模型与我国沪深股市的波动 |
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| 引用本文： | 殷玲,唐杰.GARCH-M模型与我国沪深股市的波动[J].江南大学学报(人文社会科学版),2002,1(2):56-58. |
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| 作者姓名： | 殷玲 唐杰 |
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| 作者单位： | 江南大学,商学院,江苏,无锡,214063 |
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| 摘 要： | 运用多元GARCH-M模型对我国沪、深股市的期望收益率与 风险以及两市波动之间的相互影响关系进行了实证性研究，发现我国股市风险和期望收益之 间无显著关联，但两市波动之间存在着相互影响的关系。同时，沪、深股市波动具有群集性 和持续性。
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| 关 键 词： | 多元GARCH-M模型 期望收益率 沪深股市 群集性 持续性 |
| 文章编号： | 1671-6973(2002)02-0056-03 |
| 修稿时间： | 2001年10月1日 |
GARCH-M Model and the Volatility in Hu-Shen Stock Market |
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| YIN Ling,TANG Jie.GARCH-M Model and the Volatility in Hu-Shen Stock Market[J].Journal of Southern Yangtze University:Humanities & Social Sciences Edition,2002,1(2):56-58. |
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| Authors: | YIN Ling TANG Jie |
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| Abstract: | This paper uses the Multivariate GARCH -M model to investigate if the volatility influences expected returns and the degr ee of interdependence of stock markets of Shanghai and ShenZhen . We find that there is no significant relation between conditional market volatility and expected r eturns. But there exists strong time-varying conditional volatility in the two s tock markets,and it shows that the stock markets' volatility has the property of clusting and persistence. |
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| Keywords: | multivariate GARCH-M model expected returns Hu-Shen market clusting persistence |
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