| ARCH模型在我国金融市场的应用情况研究 |
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| 引用本文： | 黄宗远,沈小燕.ARCH模型在我国金融市场的应用情况研究[J].广西师范大学学报(哲学社会科学版),2007,43(1):21-25. |
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| 作者姓名： | 黄宗远 沈小燕 |
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| 作者单位： | 广西师范大学,经济管理学院,广西,桂林,541001 |
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| 基金项目： | 广西哲学社会科学基金“十五规划”重点资助课题“ARCH模型在我国金融市场中的应用”(03DJY0004) |
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| 摘 要： | 金融数据时间序列具有丛集性和方差波动性特点,传统经典计量模型对此的解释能力不足。ARCH模型引入观测数据方差自相关假设,有力地刻划和解释了金融数据的丛集性和厚尾尖锋特性。目前,国内用此模型对股指收益率、非对称性、市场有效性、量价关系、风险管理、保证金水平等问题研究取得了多项成果。但是,在研究中也存在样本容量小,容易导致实证结果不稳定、不可靠,对杠杆效应、周内效应、羊群效应形成原因和机理研究不足等问题。后续研究应该注重对超高频数据分析、波动的持续性、无条件分布的厚尾性及高维系统的分析。在参数估计方面,应针对具体市场和样本数据,检验各种模型和参数估计方法的能力。
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| 关 键 词： | ARCH模型 丛集性 尖峰厚尾特性 |
| 文章编号： | 23998646 |
| 修稿时间： | 11 2 2006 12:00AM |
A Study of the Application of ARCH Model in the Financial Market in China |
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| HUANG Zong-yuan,SHEN Xiao-yan.A Study of the Application of ARCH Model in the Financial Market in China[J].Journal of Guangxi Normal University(Philosphy and Social Science Edition),2007,43(1):21-25. |
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| Authors: | HUANG Zong-yuan SHEN Xiao-yan |
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| Abstract: | The time series of financial data have the characteristics of unevenness and variance volatility,which was inadequately explained by traditional classical econometric model.The ARCH model with its introduction of autocorrelation hypothesis of observation data describes and explains convincingly the unevenness and fat-tail distribution of financial data.At present,research achievements have been made at home in the application of this model in such issues as stock index returns,asymmetry,market efficiency,price volume relation,risk management,and margin level.However,the sample volumes in these studies are small,which leads to the instability and unreliability of the empirical results,and studies are not adequate concerning the formation causes and mechanisms of leverage effect,weekday effect and herding effect.Future research should focus on the analysis of ultra-high frequency data,volatility persistence,unconditional fat-tail distribution,and high dimensional system.With regard to parameter estimation,the capacity of different models and parameter estimation methods should be tested against the specific market and sample data. |
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| Keywords: | ARCH model unevenness fat-tail distribution |
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