基于GARCH族模型的深证成指价格波动研究

关华

基于GARCH族模型的深证成指价格波动研究

引用本文：关华.基于GARCH族模型的深证成指价格波动研究[J].湖南大学学报社会科学版,2011,(3):62-65

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作者	单位
关华	（天津大学管理学院，天津300072）

中文摘要:金融数据的波动具有较明显的集聚特性，波动集聚现象在收益率的分布上往往呈现出“尖峰厚尾”的特征。价格指数的误差存在自相关性和条件异方差问题，还具有杠杆效应。运用GARCH族模型对深证成分指数的价格指数及收益率进行研究，并对各种模型的拟合结果进行比较结果显示：深证成分指数的收益率的分布存在明显的尖峰后尾现象，股票价格指数存在非对称效应，EARCH模型较好地拟合了股票价格指数的非对称效应的结论。

中文关键词:GARCH族深证成指价格波动

Use GARCH family models to Study the Price Volatility of Shenzhen Component Index

Abstract:The volatility of financial data has an obvious volatility clustering characteristic and the phenomenon of volatility clustering shows a“pike hick tai”phenomenon onthe distribution of returns. The error ofPrice indexexist autocorrelation and conditional heteroskedasticity problem and also has leverage effect. Using GARCH family models to analyze Shenzhen component index and compare the results of variety of models. The Conclusion shows that: the distribution of return rates series has an obvious “pike hick tail”phenomenon; stock price index has non symmetrical effect; EARCH model can fit the non-symmetrical effect of stock price index better.

keywords:GARCH family: Shenzhen component index price volatility

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