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波动率的研究是资产定价方面的一个重要的研究方向,其中波动率估计准确与否直接关系到模型运用是否得当,投资的策略是否成立。沪深300指数是时衡量中国资本市场波动的一个重要标志。本文以2005年至2015年2455天样本数据为研究对象,运用ARCH和GARCH模型,研究发现沪深300指数日收益率波动呈现出明显的可变性和波动集簇性,序列分布呈现尖峰厚尾等特点,并且存在明显的GARCH效应,而且,过去的波动对未来的影响逐渐衰减。
The study of volatility is an important research direction in asset pricing. The accuracy of the volatility estimation is directly related to whether the model is properly used and whether the investment strategy is established. The CSI 300 Index is an important indicator when measuring the volatility of China’s capital markets. In this paper, we take the sample data of 2455 days from 2005 to 2015 as the research object. By using the ARCH and GARCH models, we find that the daily returns of Shanghai and Shenzhen 300 Index show obvious variability and volatility clustering. Characteristics, and there is a clear GARCH effect, and the impact of the past volatility on the future gradually decayed.