论文部分内容阅读
股市收益波动非对称性的研究对于构建准确的资产价格模型以及市场波动性的预测来说都是至关重要的.但在我国股市收益波动中是否存在内生的结构突变,结构突变是否对股市收益波动的非对称性特征产生影响等问题上却缺乏探讨.利用引入了结构突变的ARCH族模型考察了我国股市收益波动的非对称性.研究结果发现,引入结构突变后的ARCH族模型对股市收益波动的拟合效果更好.在考虑了结构突变后,股市收益波动的持续性降低,非对称性现象虽然存在,但好消息和坏消息对股市收益波动的影响程度却发生了变化.
The study on asymmetric volatility of stock market returns is crucial for building an accurate asset price model and forecasting market volatility.But there is an endogenous structural mutation in the fluctuation of stock market returns in our country, It is lack of discussion on the influence of the asymmetry characteristics of earnings volatility and so on.Using the ARCH family model which introduced the structural mutation to investigate the asymmetry of the volatility of China’s stock market returns, After taking into account the structural abrupt change, the volatility of the stock market volatility continued to decline, although there is asymmetry phenomenon, but the good news and bad news on the stock market fluctuations in earnings have changed.