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中国股市波动率变化特征的实证分析

DOI: 10.3969/j.issn.1000-5013.2006.04.028

Keywords: 波动率, 体制转换, 广义自回归条件异方差, 持续性

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Abstract:

将体制转换模型与广义自回归条件异方差(GARCH)模型相结合,用以对上证综合指数和深圳成分指数进行实证分析.刻画中国股市的波动持续性和体制变化特征,解决单体制GARCH模型的伪高度持续性问题,识别出两市高低波动体制.从分析结果发现,中国股市存在着明显的体制变化特征,高低波动体制显著相异; 引进转换体制之后,持续性系数显著降低; T+1体制和涨跌停板制度对于抑制过度投机起着重要作用.

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