机制转换条件下股市收益率跳跃行为研究:基于RS-ARJI模型的以中国股市为例的实证分析

为检验股市收益率机制转换特性,考察机制转换条件下股市收益率的跳跃特征,以及在不同机制下跳跃行为对股市收益率的冲击效应,将Markov机制转换思想引入自回归跳跃(ARJI)模型,构建一个机制转换自回归跳跃(RS-ARM)模型.基于该模型对中国股市进行实证研究,结果表明:股市存在高、低波动两种机制,高波动时期的跳跃幅度和强度及其对股市收益率的冲击均大于低波动时期.同时,波动率估计和预测评价指标显示,RS-ARJI模型优于目前被广泛使用的GARCH模型和ARJI模型.

Jump Dynamics with a Regime Switching Process in Stock Market Returns: an empirical study of China's stock market based on RS-ARJI model

In order to investigate the differences of the jump behavior in stock market returns with a regime switching process,this paper develops a regime switching jump(RS-ARJI) model.Based on this model,the empirical study of China's stock market shows that there are two distinctively different regimes in the stock market,namely the high and low volatility regimes.Furthermore,the jump size and intensity in the high volatility regime and their impacts on returns are larger than those in the low volatility regime.Finally,the assessment criteria indicate that the RS-ARJI model outperforms the widely used traditional GARCH models and the ARJI model both in volatility estimate and forecast.