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股票市场收益率的波动性和非线性特征是金融学研究的热点问题,具有重要的意义。本文以中小板综指数日收益率为研究对象,基于GARCH模型、GARCH-M和模型EGARCH模型研究中小板综日收益率的波动性。基于以上研究得出中小企业股票市场的波动存在明显的集群现象,但是杠杆效应不明显。
The volatility and non-linear characteristics of the return on the stock market are the hot issues in the study of finance, which is of great significance. In this paper, the daily rate of return for the index of small plates is taken as the research object. Based on the GARCH model, GARCH-M and the model EGARCH model, we study the volatility of the comprehensive daily rate of return. Based on the above research, it is found that the stock market volatility of SMEs has obvious cluster phenomenon, but the leverage effect is not obvious.