%0 Journal Article
%T 基于ARMA-TGARCH-M模型的深证B股波动率的实证分析<br>An Empirical Analysis of the Volatility of SZSE B-Shares Based on the ARMA-TGARCH-M Model
%A 苏峙霖
%J Finance
%P 457-467
%@ 2161-0975
%D 2025
%I Hans Publishing
%R 10.12677/fin.2025.153048
%X 本文选取2014~2024年间的深证股交易数据&#65292;建立ARMA(1,8)-TGARCH(1,1)-M对该指数的收益率数据进行实证分析&#65292;实证结果表明&#65292;该收益率数据具有长期记性、非对称性效应以及收益率和波动性成正向变动关系。针对以上问题提出如下建议&#65306;1) 加强市场监管与信息披露&#65292;强化监管力度&#65307;2) 优化信息披露制度&#65307;3) 加强宏观政策调控与市场&#65292;采取稳定货币政策与财政政策协调&#65292;加强跨境资本流动管理&#65307;4) 推动市场制度改革与创新。运用政策促进B股市场机制的改革和交易活力的提升&#65292;同时提升我国信息产业的发展水平。<br>This paper selects the trading data of Shenzhen government stocks from 2014 to 2024, and establishes an empirical analysis of the return data of ARMA(1,8)-TGARCH(1,1)-M for the index, and the empirical results show that the return data has long-term memory, asymmetric effect, and a positive change relationship between return and volatility. In view of the above problems, the following suggestions are put forward: 1) strengthen market supervision and information disclosure, strengthen supervision; 2) optimize the information disclosure system; 3) strengthen macro policy regulation and control, adopt stable monetary policy and fiscal policy coordination, strengthen the management of cross-border capital flows; 4) promote the reform and innovation of market system, using policies to stimulate the reform of the B-share market mechanism and the improvement of trading vitality, and at the same time improve the development level of China's information industry.
%K 杠杆效应&#65292
%K B股研究&#65292
%K ARIMA-TGARCH-M模型<br>Leverage Effect
%K B-Share Research
%K ARIMA-TGARCH-M Model
%U http://www.hanspub.org/journal/PaperInformation.aspx?PaperID=113765