文章主要以上证综指日收益率作为研究对象,从实证的角度采用GARCH模型族,研究了2003年至2007年间我国股价波动的统计特征。实证结果表明:在这段检验时间内,上海证券市场股价的波动具有显著的尖峰厚尾特征,且存在波动的集群性、异方差性和非对称性,市场杠杆效应显著。 The article takes the daily return rate of the Shanghai Composite Index as the research object, and uses the GARCH model family from the empirical point of view to study the statistical characteristics of the stock price volatility in China from 2003 to 2007. The empirical results show that: during this inspection period, the stock market in Shanghai stock market fluctuated with a sharp peak and a thick tail, and there were fluctuating clusters, heteroscedasticity and asymmetry, and the market leverage effect was significant.