上证综指收益率波动性的非线性方法研究

以上证综指日收盘价为样本建立了对上证综指收益率波动性的非线性模型.实证结果表明我国上海股市的价格波动具有异方差性及显著的左尖峰厚尾的特征;收益率的波动不服从正态分布;具有集聚性和记忆性;波动持续时间较长.通过分析比较GARCH模型拟合效果较好,并预测结果有一定的稳定性.同时对收益率建立了EGARCH（1,1）和TARCH（1,1）模型,表明收益率波动存在一定的杠杆效应.

Nonlinear study of return volatility on Shanghai composite index

Shanghai synthesis index returns fluctuations of the nonlinear model were estab- lished by the use of the Shanghai composite index daily closing price of Shanghai stock mar- ket as the sample data. The results showed that Shanghai stock market price fluctuation has heteroscedastic characteristic and the significant characteristics of thick tail left peak ; volatil- ity of returns didn＇t follow normal distribution and had the agglomeration characteristic and memory characteristics; wave continues for a long time. Through analysis and comparison GARCH model fits better, and predict the results have a certain stability. At the same time the EGARCH （ 1, 1 ） and TARCH （ 1, 1 ） ） models were also established, the empirical re- suits showed that yields fluctuations had a certain leverage effect.