摘要
Abstract
The fluctuation of the return rate in the stock market will show a great difference with the change of time. Compared with the method of the traditional measurement, the ARCH model can better describe the characteristics of this kind of changes. Taking the new energy industry as an example, this paper selects 27 representative stocks from November 12, 2008 to December 12 with a return data of 1457 days and uses the ARCH models to make a quantitative and qualitative analysis of their fluctuation. The results show that the daily return rate of the new energy industry has obvious an ARCH effect of the high-er order, fluctuation clustering, sharp peaks and fat tail, leverage effect and information asymmetry. Furthermore, the fluctuation of the conditional heteroscedasticity has significant impact on the daily return rate and the EGARCH model is better than other models from the aspect of reflecting the fluctuation of the daily return rate of the industry.关键词
新能源行业/日收益率/波动性/ARCH模型族Key words
the new energy industry/daily return/fluctuation/ARCH model分类
管理科学
