摘要
根据非对称的CARCH理论,通过在模型分析中引入冲击因素和波动系数,对沪深股指差额波动率分析后发现:回归方程残差呈现显著的“聚集”现象,说明存在着ARCH效应;拟合CARCH模型冲击因素的显著性表明沪深股指差额波动率存在着明显的杠杆效应,负面的信息冲击比正面的信息冲击带来的波动更大;CARCH模型中的长期波动率表明,波动率收敛于稳态的速度更快。
This paper analyzes SZCI and SHCI balance volatility rate variety with asymmetric component ARCH theory. Empirical results show there is an ARCH and lever effect. Negative impacts make bigger impact. Also finds that the long-term volatility rate convergences more rapidly to a stationary state.
出处
《统计与信息论坛》
2007年第4期74-77,92,共5页
Journal of Statistics and Information
