【摘要】 收益与风险历来都是投资者与研究者所关注的问题 .本文选取 GA RCH、TGARCH和 EGARCH模型来拟合中国股市的波动性 .实证分析结果表明 ,中国股市的波动具有显著的波动聚类性与持续性 ;由 E-GARCH模型所预测的上证 30指数、上证综合指数和深证成份指数未来一天的波动要明显优于 GARCH和TGARCH模型的对应值 ,而对香港恒生指数 ,三种模型的预测结果无显著的差异 .更多还原

【Abstract】 Return and risk have long been the key issues considered by investors and researchers. In this paper GARCH, TGARCH and EGARCH models are used to fit the volatility of Chinese Stock Markets. The empirical results show that there are significantly volatility clustering and persistence in Chinese Stock Market. Gains in forecast accuracy associated with EGARCH model compared to a GARCH or TGARCH model are shown to be substantial for Shanghai 30 Index, Shanghai Composite Index and Shenzhen Sub-component Index in many cases.The differences of forecast accuracy for Hang Seng Index are insignificant among the three models.更多还原