用ARCH模型研究中国股市的波动特征

中国股市的波动特征是学者们和投资者关注的一个重要领域,与国外成熟的证券市场相比,中国股票市场作为新兴市场,具有其特有的性质,如更高的不可预测性和复杂性,股票价格更大的波动幅度和频率.研究中国股市的波动特征就具有重要的理论价值和现实价值.投资者在选股过程中需要理解中国股市随时间变化的波动情形,而ARCH模型族正是研究股市波动随时间变化的工具.以上证综合指数为对象,采用GARCH类模型对中国股市波动情况进行实证研究,为股市收益的尖峰厚尾特点、波动的集簇性、时变性提供了实证证据,并对实证结果作了一些初步的探讨.

Volatility characteristics of Chinese stock market based on ARCH models

China stock market volatility characteristic is an important area of concern and a hot topic for scholars and investors. Compared with foreign mature securities markets, China stock market as an emer ging market, has its unique properties, such as higher unpredictability and complexity, the stock price volatility and greater frequency. Therefore, the study on the characteristics of China＇ s stock market vola tility has important theoretical value and practical value. Investors need to understand the Chinese stockmarket volatility changes over time in the stock selection process, while the the tools to study the timevarying volatility of the stock market. Shanghai ARCH model family is one of Composite Index as an object in this paper, using the GARCH model for China＇ s stock market fluctuations empirical research, pro vides empirical evidence for China＇ s stock market gains fat tail characteristics, volatility clustering, time varying. Some preliminary discussion about the empirical results are carried out.