我国上海股票市场GARCH效应实证研究

我国上海股票市场GARCH效应实证研究 Empirical Study on GARCH Effect in Shanghai Stock Market 徐绪松 XU Xu-song 1 2 first-author 马莉莉 MA Li-li 1 2 陈彦斌 CHEN Yan-bin 1 2 武汉大学商学院技术经济及管理研究所 武汉大学商学院技术经济及管理研究所 Institutie of Technology Economics and Management, Business School, Wuhan University Institutie of Technology Economics and Management, Business School, Wuhan University 武汉大学商学院技术经济及管理研究所,湖北,武汉,430072 武汉大学商学院技术经济及管理研究所,湖北,武汉,430072 对我国上海股票市场的GARCH效应进行了实证研究,包括3个方面的内容:应用GARCH模型对股票收益率进行事前估计分析;对模型参数进行估计与最优选择;应用GARCH模型进行事后估计分析.结果表明我国上海股票市场收益率序列的波动具有显著的异方差性,可以用GARCH（1,1）进行拟合. We propose a normative analysis method on GARCH effect of Shanghai stock market: apply it to estimate beforehand; apply it to select the optimal model; apply it to estimate afterwards. We use this measure to analyze the Shanghai stock market, find that the serials of the return rate deviates the normal distribution, and the square of the serials exists a certain degree of autocorrelation, which indicates that there is GARCH effect on the serials of return rate. Then we apply the AIC and BIC criterion to some GARCH models with different parameters, and select the optimal model GARCH（1,1）. At last the serials of standardized residuals has a normal distribution. The result shows that there is serious volatility on return rate of the stock market, and GARCH（1,1） model performs very well. 上海股票市场 GARCH效应 非线性 易变性 Shanghai stock market GARCH effect nonlinearity volatility F224.9 国家教育部博士点基金资助项目（01JB630009） 2002-03-01 2021-04-01 3