基于GARCH模型对股票市场进行分析预测

The Analysis and Forecast of Stock Market Based on GARCH Model

摘要: 本文研究了上海证券综合指数和深圳成分股指数，发现两者趋势十分相似，波动特征几乎相同。为了更好的预测股票发展，我们对两者对数收益率进行统计分析，建立GARCH模型。结果表明，我国股票对数收益率波动具有较高持续性，投机因素较强，具有一定的风险。

Abstract: This paper studies Shanghai Composite Index and Shenzhen Component Index, and finds that they have similar trends and almost identical fluctuation characteristics. In order to better predict the stock development, we make statistical analysis on the logarithmic returns of the two, and establish GARCH model. The results show that the fluctuation of logarithmic return rate of Chinese stock has high persistence, strong speculative factors and certain risks.