CAJ | 학술논문

将参数与非参数ARCH模型应用于我国2007年5月15日至2012年3月9日沪深指数波动率的研究，得出的结论为：对于上证指数波动率的非参数ARCH模型估计精度和预测结果优于参数ARCH模型，而针对深证成指波动率的非参数ARCH模型估计精度低于参数ARCH模型，两者预测结果相当；总体而言两种方法得到的均方误差都非常小。文章将非参数ARCH模型应用于沪深两市收益率波动的描述中并较客观的给出了相关结果及建议，为日后将非参数ARCH模型作为一个可供选择的计量方法应用于金融资产波动研究打下了一定的基础。
장삼수여비삼수ARCH모형응용우아국2007년5월15일지2012년3월9일호심지수파동솔적연구，득출적결론위：대우상증지수파동솔적비삼수ARCH모형고계정도화예측결과우우삼수ARCH모형，이침대심증성지파동솔적비삼수ARCH모형고계정도저우삼수ARCH모형，량자예측결과상당；총체이언량충방법득도적균방오차도비상소。문장장비삼수ARCH모형응용우호심량시수익솔파동적묘술중병교객관적급출료상관결과급건의，위일후장비삼수ARCH모형작위일개가공선택적계량방법응용우금융자산파동연구타하료일정적기출。
The research on the application of parametric and nonparametric ARCH model to the volatility of Shanghai and Shenzhen index from 15 May,2007 to 9 March,2012 in our country reached the following conclusions：the estimation precision and prediction results of the volatility of Shanghai stock index obtained by nonparametric ARCH model is superior to obtained made by the parametric ARCH model, while as for the volatility of Shenzhen component index the result of nonparametric estimation precision is lower than that of the ARCH model,with the predicted results alike;in general, the mean square error of both methods is very small. This article applies nonparametric ARCH model to the description of the Shanghai and Shenzhen index fluctuation, and objectively obtained the related conclusion and suggestions, which lays a foundation for the nonparametric ARCH model, as an alternative measure,to be applied to the research on the volatility of financial assets.