基于ARCH模型对上证综指的实证研究

The Empirical Study of the Shanghai Composite Index Based on ARCH Model

摘要: 本文通过对上证综指自1997年1月4日至2011年12月30日，共3913个收盘点数据的分析，利用ARCH簇模型进行实证研究，结果表明上证综指具有明显的尖峰厚尾性、波动聚簇性、信息不对称性；通过分析自2007年1月4日到2011年12月30日，共1303个数据，验证上证综指与美国标准普尔500指数存在协整关系，表明两者之间有很强的关联性。

Abstract: The emphasis in this paper is mainly on the empirical study of the Shanghai composite index based on ARCH model by analyzing 3913 data from January 4, 1997 to December 30, 2011. The results show that the Shanghai composite index has properties of obvious peak and fat tail, volatility clustering and information asymmetry. The data show that there exists a co-integration rela-tionship between Shanghai composite index and Standard & Poor’s 500 index by analyzing 1303 data from January 4, 2007 to December 30, 2011.