中国股市短期波动的非线性ARCH效应显著性分析及参数估计

中国股票市场受政治或其它因素的影响有自己的波动特点。本文利用拉格朗日乘子,选择不同的频率检验中国股票市场短期的ARCH效应的显著性,并用FGLS四步法进行非线性估计。结果表明:中国股票市场在选择适当的频率下,短期的ARCH效应是显著的,对于研究中国股票市场的成熟度,预测股票短期投资风险,规范中国股票市场发展等具有重要的意义。

The ARCH effect in the short fluctuation of Chinese stock market and parameter estimate

Chinese stock market is vulnerable to political or other factors and this makes the stock price show some instability.In this paper, We established the nonlinear auto-regressive conditional heteroskedastic model,and in different time span judged the model's credibility by LG finger with the critical number,and estimted the model's parameters by FGLS.The result show that the ARCH Effect in the short fluctuation of cninese Stock Market and Parameter estimate is credibility.The result of our research is benefit to study Chinese stock market.With the theory and methods in example show that: