中国股市波动率变化特征的实证分析

Abstract

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.

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.