股票波动率模拟及对中国市场预测效果的实证研究

利用实际波动率衡量标准和损失函数评价指标对GARCH类模型的波动率进行模拟并对中国市场的预测效果进行了实证研究,得出:1)在模拟期,EGARCH模型的模拟效果相对最优;2)在预测期,没有一个模型的预测效果表现相对出色;3)以实际波动率为标准,模拟和预测效果均显得不足,预测效果更是不容乐观.

Empirical study on Volatility's Modeling and Forecasting Effect of China's Market

This paper performs an empirical study on volatility′s modeling and forecasting effect of GARCH type models utilizing realized volatility as scaling criterion and loss functions as evaluating indexes,and three conclusions are got.Firstly,EGARCH model′s performance is the best during modeling period.Secondly,none of model′s performance is better than all the others during forecasting period.Finally,comparing to realized volatility,both modeling and forecasting performances are not good,especially the latter.