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2015年我国股市经历了大起大落,股市的剧烈动荡使我们有必要对其目前的波动性进行研究,发现其问题所在。本文主要对我国股市近几年的波动情况进行了研究,从股市波动的统计分析入手,再借助GARCH族模型对我国股市的波动特性进行了完整的分析。本文以上证综合指数为研究对象,以2009年4月1日到2016年3月31日共1700个日收盘价数据为样本区间对我国股票市场波动性进行了研究。通过建立GARCH(1,1)模型、TGARCH(2,1)模型和EGARCH(1,2)模型对上证综指的波动特征进行了实证分析,得出上证综指存在ARCH效应且其波动存在聚集性、持续性和非对称性的特点。
In 2015, the stock market in our country experienced great ups and downs. The violent turmoil in the stock market made it necessary for us to study its current volatility and find its problems lie. This paper mainly studies the volatility of the stock market in recent years in our country. Starting with the statistical analysis of the stock market volatility, we use the GARCH model to analyze the volatility of the stock market in our country. This article takes the Shanghai Composite Index as the research object and takes the 1700 daily closing price data from April 1, 2009 to March 31, 2016 as the sample interval to study the volatility of the stock market in our country. Through the establishment of the GARCH (1,1) model, the TGARCH (2,1) model and the EGARCH (1,2) model, this paper empirically analyzes the volatility characteristics of the Shanghai Composite Index, and concludes that the ARCH effect exists in Shanghai Stock Exchange with fluctuation Sexual, persistent and asymmetrical features.