中国股市波动的异方差模型

从分析上证A股股指收益率入手,运用了GARCH,EGARCH,TARCH等ARCH类模型.选定出能更好地刻画近期我国股指收益率序列特征的模型.实证分析结果表明：现阶段上海股票市场显著的表现出对信息反应的非对称性;通过模型的比较分析,发现GARCH模型能更好地刻画我国现阶段股指收益率序列的特征;上证A股市场的收益率一直存在风险补偿,且为负向,即风险惩罚。

Heteroskedastic volatility model on Chinese stock market

Origin from analysis of volatility rule in Shanghai A-share and B-share,the basic trait of share index return is grasped generally,compared the representation of different periods with ARCH type model such as GARCH,EGARCH,as well as TARCH.From the comparison and analysis we can find a relatively proper model to explain recent share index return trait in China.The results are as follows： first,the phenomena of thick tails,volatility clustering and leverage effects exist in Chinese Stock Market;second,through model comparison we can find that GARCH model can give us a better explanation of index return series characters;third,Shanghai A-share index return exists compensation risk,which is also known as punishment risk.