基于ARMA-TGARCH-M模型的深证B股波动率的实证分析
An Empirical Analysis of the Volatility of SZSE B-Shares Based on the ARMA-TGARCH-M Model

本文选取2014~2024年间的深证股交易数据，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，实证结果表明，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：1) 加强市场监管与信息披露，强化监管力度；2) 优化信息披露制度；3) 加强宏观政策调控与市场，采取稳定货币政策与财政政策协调，加强跨境资本流动管理；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，同时提升我国信息产业的发展水平。
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.