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金融市场的波动是现代金融学研究的核心问题,而ARCH类模型已经成为国际上最常用的研究金融资产波动的模型。它的一个最大特点就是反应了方差的时变特点。本文通过选取信息产业中两个具有代表性的已实施股权分置改革的集团公司。大唐电信和东软股份有限公司。分别为两个集团公司股改前后的股票收益序列建立了合适的GARCH类模型。模型的实证结果得出股改后大唐电信收益水平提高了18.6%。东软股份经过股改后收益水平由负收益(-0.000984)提高到正收益(0.003890)。相应的,风险水平也稍稍有所提高
The volatility of the financial market is the core issue in the study of modern finance. However, the ARCH model has become the most commonly used model for studying the volatility of financial assets in the world. One of its most prominent features is the response to the time-varying variance. This article selects two representative group companies in the information industry that have implemented the split share structure reform. Datang Telecom and Neusoft Co., Ltd. Respectively, for the two group companies before and after the share reform earnings sequence established a suitable GARCH class model. The empirical results of the model show that after the share reform Datang Telecom income level increased by 18.6%. Neusoft shares after the share reform gains from negative earnings (-0.000984) to positive earnings (0.003890). Correspondingly, the risk level is also slightly increased