In this paper, The ARMA-GARCH、ARMA-EGARCH and ARMA-TARCH model under the assumption of that the random error is Normality , Student t or GED distribution is used to analyze the asymmetry volatility of China stock market. The samples are the close prices of shanghai and Shenzhen A share index from December 1995 to March 2008.The result suggests that: 1) both Shanghai and Shenzhen A share stock market have the asymmetry of information on volatility of the stock return rate; 2) in the Maximum Likelihood norms and principles of AIC, ARMA-EGARCH is the optimal model to describe the China A-shares index volatility.
姚远. 基于不同分布的股指波动非对称性实证分析[J]. J4, 2009, 6(6): 834-.
YAO Yuan. The Empirical Analysis of the Asymmetry Volatility of Stock Index under the Different Distributions. J4, 2009, 6(6): 834-.