【摘要】 本文基于二元向量区制转移模型,分析股市和汇率波动率的区制关联性,并依据4种模型结构对我国股市波动性的预测效果进行比较。结果表明2005年7月汇改以来,汇率波动率的均值区制和股市波动率的方差区制间关联性通过显著性检验,汇率波动率的均值区制变化对股市波动率的方差区制有较大影响;汇率波动率的均值区制变化对股市波动的方差有超过80%的解释力;二者的向量区制转移模型对股市波动率的拟合和预测效果均较好。更多还原

【Abstract】 This paper based on the binary vector system transfer model,analyzes the system correlation between stock market and exchange rate fluctuation,uses four models structure to compare the predicted effects of the stock market fluctuation.We get a result that,since the exchange reform in July 2005,the mean regime of exchange rate fluctuation and the variance regime of the stock market volatility are relevant significantly by test,the changes of the mean regime of exchange rate fluctuation have a greater impact on the variance regime of the stock market fluctuation;The changes of the mean regime of exchange rate fluctuation can explain more than 80% of the variance of the stock market fluctuation;Both two vector system transfer model have better fits and predictions of the stock market fluctuation.更多还原