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本文从分析上海股票市场收益率序列的基本特征入手,重点利用非参数方法分析收益率序列波动性的簇生特征.首先通过一系列描述指标说明股市收益率序列具有的基本特点,利用非参数方法估计收益率序列的密度函数.进一步利用非参数回归分析的方法,分析股票市场的波动性,说明股市收益率序列的簇生特征是一个一般规律,在防范股市风险的时候应该注意到这一特点.
This paper starts with the analysis of the basic characteristics of the Shanghai Stock Market yield series and focuses on the non-parametric method to analyze the clustering characteristics of the volatility of the yield series.Firstly, through a series of descriptive indexes, it illustrates the basic features of the stock market return series, The non-parametric regression analysis is used to analyze the volatility of the stock market. It is a general rule to show the clustering characteristics of the stock market return series. This characteristic should be noticed when preventing the stock market risk.