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本文选取了2014年1月6日至2017年2月14日的创业板指数作为样本,分别运用ARCH模型、GARCH模型对创业板指数收益率的波动性以及波动的非对称性进行了初步研究。实证分析显示:创业板指数存在杠杆效应,其波动表现出集群现象和持久性,而且序列波动具有显著的非对称性。最后,本文根据我国创业板指数的波动特征,提出了相应的应对措施和建议。
This article selects the GEM index from January 6, 2014 to February 14, 2017 as a sample, and uses the ARCH model and the GARCH model respectively to study the volatility and volatility asymmetry of the GEM index. Empirical analysis shows that there is a leverage effect on the GEM index, and its volatility shows the phenomenon of cluster and persistence, and the sequence fluctuation has significant asymmetry. Finally, according to the fluctuation characteristics of China’s GEM index, this article puts forward corresponding countermeasures and suggestions.