黄明中南财大统计上证综指收益率GARCH模型族实证分析.pdfVIP

上证综指收益率GARCH 模型族的实证研究 黄 明 内容提要:本文利用 GARCH 模型族，对上证综指的波动性进行了实证研究，结果显示 我国股票市场收益有明显的尖峰厚尾性，波动集群性和“杠杆效应”，但是没有高风险高回 报的现象。 关键词：上证综指；波动性；GARCH 模型 The Research on the “GARCH Effect” in Shanghai Stock Market Abstract: Based on GARCH model, the article conducted a research on the Shanghai stock market. The results showed that there were phenomenon of “obvious peak and thick tail” 、“fluctuation collection bunch of the nature” and “the leverage effect”. But it did not have the phenomenon of “h