CAJ | 학술논문

基于GARCH族模型对深证成分指数的波动性进行实证研究。用学生－t分布的GARCH（1，1）模型分析了尖峰厚尾和波动聚集特征，用基于CED分布的GARCH‐M （1，1）模型研究了风险溢价情况，以及用基于标准正态分布的EGARCH（1，1）模型分析股市波动的杠杆效应。结果显示，残差确实存在异方差性，股市中收益与风险成正比，同等单位的利空消息对股市冲击更大。最后根据实证研究给出结论与建议。
기우GARCH족모형대심증성분지수적파동성진행실증연구。용학생－t분포적GARCH（1，1）모형분석료첨봉후미화파동취집특정，용기우CED분포적GARCH‐M （1，1）모형연구료풍험일개정황，이급용기우표준정태분포적EGARCH（1，1）모형분석고시파동적강간효응。결과현시，잔차학실존재이방차성，고시중수익여풍험성정비，동등단위적리공소식대고시충격경대。최후근거실증연구급출결론여건의。
This article is based on GARCH Models volatility Shenzhen Component Index of empirical research. GARCH model with Student‐t dis‐tribution are used to analyze the fat tail and volatility clustering characteristics. Using GARCH‐M (1 ,1) model based on the distribution of the CED to study the risk premium ,and based on the standard normal distribution of EGARCH (1 ,1) model to analyze the stock market volatility of leverage. The results show that the existence of residual heteroscedasticity ,and the risk is proportional to the stock market earnings. The fluctua‐tions in the stock market caused by Bad news are big than the fluctuations caused by same size good news. Finally ,this paper gives some relevant conclusions and recommendations in the end .