基于ARMA-EGARCH模型的中国A股市场风险特征研究
Research on China A-Share Market Risk Feature Based on ARMA-EGARCH Model

了解股市的波动情况与风险特点，对帮助投资者和政府制定更有效的投资策略和政策措施都具有重要意义。自2010年以来中国股市经历了许多变化，文章基于三大宽基指数的收益率序列，采用非对称模型进行拟合，进而分析中国A股市场的波动率特征和风险情况。研究结论显示：(1) 非对称模型在服从t分布和GED分布时拟合效果要优于正态分布；(2) 我国A股市场的收益率序列具有明显的杠杆效应；(3) 在我国A股市场中，中小盘股所面临的风险损失会更大。这些结论为政府在监管机制、投资者教育与保护、市场体系、风险管理、长期投资等方面提供了启示。
China’s stock market has undergone a lot of changes since 2010. Understanding the volatility and risk characteristics of the stock market is of great significance to help investors and the government to formulate more effective investment strategies and policy measures. Based on the return series of three broad base indices, this paper uses asymmetric model to fit, and then analyzes the volatility characteristics and risk of China A-share market. The results show that: (1) The fitting effect of asymmetric model is better than that of normal distribution when it follows t distribution and GED distribution; (2) The yield series of China’s A-share market has obvious leverage effect; (3) In China’s A-share market, small and medium cap stocks will face greater risk losses. These conclusions provide implications for the government in the aspects of supervision mechanism, investor education and protection, market system, risk management, long-term investment and so on.