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基于GARCH变点模型的上证收益率伪波动持续性研究.docx

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基于GARCH变点模型的上证收益率伪波动持续性研究 Abstract ThevolatilitypersistenceoftheShanghaiComposite(SHC)indexreturnsisacrucialtopicinfinancialresearch.ThispaperinvestigatesthepseudovolatilitypersistenceoftheSHCindexreturnsusingtheGARCHregime-switchingmodel.TheresultsshowthattheSHCindexreturnsexhibitsignificantpseudo-volatilitypersistence,indicatingthatthemarketexperiencesperiodsofhighvolatilityfollowedbyperiodsoflowvolatility.Thepaperconcludesthatinvestorsshouldbecautiousduringperiodsofhighvolatilityandadjusttheirportfoliosaccordingly. Introduction Theconceptofvolatilitypersistenceiscriticalinfinancialeconomicsandriskmanagement.InthetraditionalGARCHmodels,thevolatilityoffinancialreturnsisassumedtobepersistent,meaningthatshockstovolatilitywouldnotdisappearquickly,butratherhavealastingimpactonfuturevolatility.Recently,manystudieshavearguedthatfinancialmarketvolatilitymaybecharacterizedbypseudovolatilitypersistence,whichmeansthatthetime-varyingvolatilityswitchesbetweenhighandlowregimes.Toexplorepseudovolatilitypersistence,aGARCHregime-switchingmodelhasbeenwidelyused. TheChinesestockmarkethasexperiencedsignificantgrowthinrecentyears,withtheShanghaiComposite(SHC)indexperformingexceptionallywell.However,volatilityisapersistentfeatureofthemarket,posingasignificantrisktoinvestors.TheaimofthispaperistoinvestigatethepseudovolatilitypersistenceoftheSHCindexreturnsandidentifyimplicationsforinvestors. LiteratureReview Volatilitypersistencehasbeenextensivelystudiedinfinancialmarkets,withearlystudiesusingtheGARCHmodelsfindingthatvolatilityhasalong-runmemoryandthatmacroeconomicshockswouldhavealong-lastingimpactonfuturevolatility.Morerecently,severalstudieshavefocusedonpseudovolatilitypersistence,whichimpliesthatvolatilityswitchesbetweenregimeswithhighandlowvolatility.Suchstudieshaveemphasizedtheimportanceofunderstandingthedynamicsofvolatilityregimestoprovidevaluableinsightsforinvestmentstrategies. Empiricalstudiesofpseudovolatilitypersistenceinstockmarketsarerelativelysparse.However,astudybyChenetal