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本文对深圳股市收益率的统计特性进行了讨论,表明股市收益率呈现右偏、尖峰厚尾的分布形态,不服从正态分布且不存在自相关性。根据收益率的这些特征,本文利用基于固定自由度为10的t分布的ARCH模型族来研究深圳股市收益率的特征。结果表明:EGARCH模型和非对称组合GARCH模型可以较好的描述深圳股市收益率特征。深圳股市收益率存在信息冲击曲线的非对称性特征和“杠杆效应”。股市收益率的长期参数将缓慢地收敛于稳定状态,而短期分量方程中存在非对称性特征。
This paper discusses the statistical characteristics of Shenzhen stock market returns, showing that the stock market returns show the distribution pattern of right-deviation and peak-thick tail, which does not obey the normal distribution and does not exist autocorrelation. According to these characteristics of the yield, this paper studies the characteristics of Shenzhen stock market returns using the ARCH model family based on the t-distribution with a fixed degree of freedom of 10. The results show that EGARCH model and asymmetric combination GARCH model can better describe the characteristics of Shenzhen stock market returns. Shenzhen stock market returns there is information asymmetry characteristics of the impact curve and “leverage effect ”. The long-term parameters of the stock market return rate will slowly converge to a steady state, while the asymmetry characteristics exist in the short-term component equation.