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本文利用SWARCH模型刻画了我国电信服务业指数的波动性特征。实证结果发现,我国电信服务业指数收益率序列呈现出三区制波动状态:低、中、高三种状态;我国电信服务行业从整体上看维持在中波动状态;处于低波动状态的时间段很短,但持续期确是最长的。另外,不同的波动状态持续时间、状态之间的转移次数也从不同侧面、不同程度体现出我国股市电信服务行业波动的非对称性。
This paper uses SWARCH model to characterize the volatility of China’s telecom service industry index. The empirical results show that the sequence of returns of China’s telecom service industry shows a three-zone system fluctuation state: low, medium and high; China’s telecom service industry maintains a medium-fluctuation state as a whole; the period of low fluctuation is very Short, but the duration is indeed the longest. In addition, the duration of different volatility states and the number of transitions between states are also different from each other, varying degrees reflect the asymmetry of fluctuations in China’s stock market telecom service industry.