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| 摘要: |
| 在对GARCH模型进行探究的基础上，针对上证指数收益率的波动特征进行GARCH建模，最后通过对所得模型结果的分析得出了我国股市与其他发达国家的股市具有一些共同的地方，即我国的上证指数收益率序列具有显著的异方差特征，且收益率波动的大小与其自身国情的波动大小有非常明显的关系，因此说我国的大盘指数也可以采用GARCH模型来进行拟合和解释。 |
| 关键词: 金融风险；GARCH 波动；模型 |
| DOI： |
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| Empirical Analysis of Shanghai Stock Exchange Index Based on GARCH Model |
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TANG Jun-bo, YANG Si-xiang, HE Shu-hong
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| Abstract: |
| Based on the research on GARCH Model, GARCH Model is constructed based on the fluctuation of Shanghai Stock Exchange Index yield, the analysis of the results from the obtained model shows that China’s Stock Market has characteristics similar to those of developed countries, i.e. Shanghai Stock Exchange yield sequence has significant heteroscedasticity characteristics and the size of yield fluctuations is significantly related to the size of their own past vibrations. Thus, GARCH Model can be used to fit and explain China’s Stock Market Index. |
| Key words: financial risk GARCH fluctuation model |
