基于GJR模型的中国股市收益率波动性研究-应用数学专业论文.docxVIP

Abstract In China, stock market return series exhibit four characteristics, that is, the non-normality distribution and fat tail heteroskedasticity; strong volatility clustering of the variance of return; strong autocorrelation of return series; leverage effect of Chinese stock market. We focus on constructing the model which can comprehensively characterize time series features. The feature of fat tail and volatility clustering can be better to describe by the GARCH model. The GJR model, which has similar features with the GARCH model, also can effectively portray the leverage effect of fina