摘要
将GARCH M模型和EGARCH模型结合起来 ,分析了我国股市波动性的特点。实证结果表明 ,波动性对收益率冲击的反应具有非对称效果 ,即正冲击所引起的波动要大于同等程度的负冲击所引起的波动 ,收益率与波动性具有显著正相关关系。
By combining the GARCH-M model and the EGARCH model, this paper constructs an EGARCH-M model to analyse the characteristics of the volatility of Chinas stock market. The empirical results shows that the volatility responds asymmetrically to positive and negative return shocks, that is, positive return shocks produce more volatility than negative return shocks of the same magnitude. The volatility has significant affection on the stocks return.
