中国股票市场波动率跳跃模型实证研究

波动率是衡量股票指数收益变化的基本特征之一,诸多研究表明包含跳跃过程的模型能够较好的捕捉波动率的异常变动。在中国,学者们对股票市场的波动已有较深入的研究,但对包含跳跃过程的波动率模型的研究却很鲜见。本文在Chan and Maheu（2002）提出的GARJI-ND模型基础上建立了EGARJI-ND模型,并根据广义误差分布函数建立了GARJI-GED和EGARJI-GED模型,然后使用上海证券综合指数每日收盘数据对四个模型进行参数估计,最后比较四个模型的拟合效果。

An empirical study of the model for volatility jump of the stock market of China

Volatility is one of the basic characteristics of returns in the stock market. Many studies have shown that the model containing the jump process can capture the changes in volatility effectively. Chinese scholars have already had in-depth research on the volatility of stock market, but research on volatility model containing the jump process is rarely seen. Based on the GARJI-ND model presented by Chart and Maheu （2002）, this article first establishes the EGARJI-ND model, then establishes the GARJI-GED model and the EGARJI-GED model abiding by the generalized error distribution function, and finally evaluates the four models about their parameters with the daily closing data of the Shanghai Stock Exchange Composite Index and compares the fitting effects of the four models.