基于ARCH—M模型上证基金指数收益性与波动性的实证分析

以日收盘价指数的对数收益率为基础，采用ARCH—M类模型（GARCH—M，TGARCH—M和EGARCH—M）对上证基金指数的波动性与收益性进行了实证研究。结果表明基金波动性存在集聚性、波动率与收益率正相关．利空与利好消息对基金波动冲击存在不显著的杠杆效应。

The Empirical Analysis on SH Fund Index Profitability and Volatility Property based on the ARCH-M Model

On the basis of Log yield of the closing price index and the ARCH-M model （GARCH-M, EGARCH-M and TGARCH-M）, this paper adopts the empirical study with the volatility and profitability of SHFI. The results show the existence of the volatility cluster, positive correlation between volatility and profitability, and the impact on fluctuations in the fund of bad and good information exerting significant leverage effect.