基于GARCH族模型的深证成指与人民币汇率关联性及波动性研究

Research on the Correlation and Volatility between the Shenzhen Component Index and RMB Exchange Rate Based on GARCH Family Models

摘要: 在全球经济一体化和国内金融市场深化改革相互交织的背景下，深入研究股市与汇市之间的动态关联与风险传导机制，对于防范外部冲击、维护我国金融体系的整体稳定具有重要的理论与现实意义。本文采用GARCH族模型，结合协整检验与格兰杰因果检验，对深证成指与人民币汇率之间的联动关系及深市波动特征进行实证探究。结果表明：两个市场的收益率序列均呈现显著的“尖峰厚尾”和非正态分布特征；两者之间存在长期均衡关系和微弱的负相关性，且深证成指对人民币汇率存在单向格兰杰因果关系；进一步分析发现，深市波动具有持续的集聚性和显著的非对称性“杠杆效应”。本研究为理解中国特定金融市场间的风险互动提供了经验证据，并为相关风险监测与宏观审慎管理提供了有益参考。

Abstract: Against the backdrop of intertwined global economic integration and the deepening reform of China’s domestic financial markets, in-depth research on the dynamic linkage and risk transmission mechanisms between the stock market and the foreign exchange market holds significant theoretical and practical importance for guarding against external shocks and safeguarding the overall stability of China’s financial system. This paper employs GARCH family models, combined with cointegration tests and Granger causality tests, to empirically investigate the linkage between the Shenzhen Component Index and the RMB exchange rate, as well as the volatility characteristics of the Shenzhen stock market. The results indicate that the return series of both markets exhibit significant “leptokurtosis and fat tails” and non-normal distributions. A long-term equilibrium relationship and a weak negative correlation exist between them, with a unidirectional Granger causality running from the Shenzhen Component Index to the RMB exchange rate. Further analysis reveals that Shenzhen market volatility exhibits persistent clustering and a significant asymmetric “leverage effect”. This study provides empirical evidence for understanding risk interactions within specific Chinese financial markets and offers useful references for related risk monitoring and macroprudential management.