CAJ | 학술논문

文章对上证指数2006年1月6日-2011年5月23日收盘价的波动率进行了研究，介绍并使用随机系数SE-TAR模型与ARCH族模型进行对比拟合，根据数据的特点，文章构建了一种新型的SETAR模型，即AR(r)-SETAR(l，p1，p1)模型，模型利用ADF检验和AIC准则进行识别和估计。结果表明：可用AR(4)-SETAR(2，1，1)模型来拟合中国股市中的上证指数，研究其波动率特点，上证指数波动率呈不对称的响应，而且“负”响应比“正”响应高出约1.3倍。用ARCH族模型也证明了这种不对称响应的特征，但无法度量波动的强度，预测效果也没有SETAR模型精确。说明上证指数波动率不对称响应明显且呈现非线性的趋势，这种非线性的趋势更适合用SETAR模型来拟合。
문장대상증지수2006년1월6일-2011년5월23일수반개적파동솔진행료연구，개소병사용수궤계수SE-TAR모형여ARCH족모형진행대비의합，근거수거적특점，문장구건료일충신형적SETAR모형，즉AR(r)-SETAR(l，p1，p1)모형，모형이용ADF검험화AIC준칙진행식별화고계。결과표명：가용AR(4)-SETAR(2，1，1)모형래의합중국고시중적상증지수，연구기파동솔특점，상증지수파동솔정불대칭적향응，이차“부”향응비“정”향응고출약1.3배。용ARCH족모형야증명료저충불대칭향응적특정，단무법도량파동적강도，예측효과야몰유SETAR모형정학。설명상증지수파동솔불대칭향응명현차정현비선성적추세，저충비선성적추세경괄합용SETAR모형래의합。
The volatility of closing price in the Shanghai Securities Composite Index from January 6, 2006 to May 23, 2011 is studied. Random coefficient SETAR model and ARCH model are used to do comparison and fitting. According to the characteristics of data, a new SETAR model is constructed, i.e. AR(r)-SETAR(1,p1,p1) model, which is identified and estimated by ADF test and AIC criterion. The results show that the Shanghai Composite Securities Index of the Chinese stock market can been fitted by the AR(4)-SETAR(2,1,1) model. It is shown that the volatility of Shanghai Securities Composite Index admits asymmetrical response, and neg-ative response ratio was about 1.3 times higher than positive one. The ARCH family model also proves the asymmetric response, but it can not measure the intensity fluctuations, and prediction is less accurate than the SETAR model. The volatility of Shanghai index admits asymmetry response and exhibits nonlinear trend. This nonlinear trend is more suitable for SETAR model.