[1]陈祥钟,黄荣坦.中国股市波动率变化特征的实证分析[J].华侨大学学报(自然科学版),2006,27(4):437-440.[doi:10.3969/j.issn.1000-5013.2006.04.028]
　Chen Xiangzhong,Huang Rongtan.Empivical Analysis for the Volatility Change in Chinese Stock Market[J].Journal of Huaqiao University(Natural Science),2006,27(4):437-440.[doi:10.3969/j.issn.1000-5013.2006.04.028]
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中国股市波动率变化特征的实证分析()
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《华侨大学学报（自然科学版）》[ISSN:1000-5013/CN:35-1079/N]

卷:
第27卷
期数:
2006年第4期
页码:
437-440
栏目:
出版日期:
2006-10-20

文章信息/Info

Title:
Empivical Analysis for the Volatility Change in Chinese Stock Market
文章编号:
1000-5013(2006)04-0437-04
作者:
陈祥钟; 黄荣坦
华侨大学数学系; 厦门大学数学科学学院 福建泉州362021; 福建厦门361005
Author(s):
Chen Xiangzhong1;  Huang Rongtan2
1.Department of Mathematics, Huaqiao University, 362021, Quanzhou, China; 2.College of Mathematics Science, Xiamen University, 361005, Xiamen, China
关键词:
波动率;  体制转换;  广义自回归条件异方差;  持续性
Keywords:
volatility;  regime swithing;  GARCH;  persistence
分类号:
F832.51; F224
DOI:
10.3969/j.issn.1000-5013.2006.04.028
文献标志码:
A
摘要:
将体制转换模型与广义自回归条件异方差(GARCH)模型相结合,用以对上证综合指数和深圳成分指数进行实证分析.刻画中国股市的波动持续性和体制变化特征,解决单体制GARCH模型的伪高度持续性问题,识别出两市高低波动体制.从分析结果发现,中国股市存在着明显的体制变化特征,高低波动体制显著相异; 引进转换体制之后,持续性系数显著降低; T+1体制和涨跌停板制度对于抑制过度投机起着重要作用.
Abstract:
The regime switching model is combined with generalized autoregressive conditional heteroskedasticity(GARCH) model to analyse empirically Shanghai stock index and Shenzhen constituent index,to capture the characteristics of regime shifts and volatility persistence in China′s stock market and to solve pseudo-persistence in sigle-regime GARCH model.Our empirical studies show there exist obvious regime shifts in China′s stock market,the introduction of switching regimes significanlty decreases coefficient of persistence,and the system of T+1 and limit up or down make strong impacts on high-volatility or low-volatility regimes.

参考文献/References:

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[5] Klaassen F. Improving garch volatility forecasts withregine-switching GARCH [J]. Empirical Economics, 2000.363-394.doi:10.1007/s001810100100.
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备注/Memo

备注/Memo:
福建省自然科学基金资助项目(Z0511027)
更新日期/Last Update: 2014-03-23