| 基于GARCH族模型的深证成指波动特征实证分析 |
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| 引用本文： | 付岱山,王楠.基于GARCH族模型的深证成指波动特征实证分析[J].沈阳工业大学学报（社会科学版）,2018,11(1):32-37. |
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| 作者姓名： | 付岱山 王楠 |
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| 作者单位： | 沈阳工业大学 经济学院, 沈阳 110870 |
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| 基金项目： | 教育部人文社会科学研究青年基金项目(16YJC790017) |
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| 摘 要： | 采用GARCH族模型对深证成指总体及分阶段收益率的波动性进行统计拟合分析,指出深证成指的波动具有集聚性、持久性、显著的非对称性效应及阶段性特征。以深证成指价格达到最高点的时间点为分界,将整个样本分成两个阶段:在第一阶段,“利好消息”对深证成指的冲击比同等程度的“利空消息”大;在第二阶段,“利空消息”的冲击比同等程度的“利好消息”大。这说明深证市场具有杠杆效应。
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| 关 键 词： | GARCH族模型 深证成指 波动特征 利好消息 利空消息 |
Empirical analysis on volatility characteristics of Shenzhen Component Index based on GARCH family models |
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| FU Dai-shan,WANG Nan.Empirical analysis on volatility characteristics of Shenzhen Component Index based on GARCH family models[J].Journal of Shenyang University of Technology(Social Science Edition),2018,11(1):32-37. |
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| Authors: | FU Dai-shan WANG Nan |
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| Institution: | School of Economics, Shenyang University of Technology, Shenyang 110870, China |
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| Abstract: | The volatility of Shenzhen Component Index and the overall rate of return in stages are analyzed by statistical fitting. It is pointed out that the volatility feature of Shenzhen Component Index has the characteristics of being agglomerate, persistent, significantly asymmetric and phased. Taking the time point when Shenzhen Component Index reached the the peak as demarcation, the whole sample is divided into two stages: in the first stage, the impact of “good news” on Shenzhen Component Index is larger than the same degree of “bad news”; in the second stage, the impact of “bad news” on Shenzhen Component Index is larger than the same level of “good news”. It illustrates that the Shenzhen stock market has leverage effect. |
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| Keywords: | GARCH family model Shenzhen Component Index volatility characteristics good news bad news |
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