基于GARCH-MIDAS模型的宏观经济与股市波动关系

doi:10.3778/j.issn.1002-8331.1811-0111

计算机工程与应用 ›› 2019, Vol. 55 ›› Issue (15): 257-262.DOI: 10.3778/j.issn.1002-8331.1811-0111

基于GARCH-MIDAS模型的宏观经济与股市波动关系

石强，杨一文，刘雅凯

西北工业大学管理学院，西安 710129

出版日期:2019-08-01 发布日期:2019-07-26

Correlation Between Macro-Economy and Stock Market Volatility Based on GARCH-MIDAS Model

SHI Qiang, YANG Yiwen, LIU Yakai

School of Management, Northwestern Polytechnical University, Xi’an 710129, China

Online:2019-08-01 Published:2019-07-26

摘要/Abstract

摘要： 以宏观经济变量为研究变量，运用多因子GARCH-MIDAS（Mixed Data Sampling）模型研究了我国宏观经济与股市波动之间的关系。研究结果表明：多因子GARCH-MIDAS模型较好地描述了宏观经济与股市波动之间的关系。工业增加值和社会消费品零售总额会对股市长期波动产生正向影响，并且这种影响有逐渐增强的趋势。利率与货币供给量则在不同经济发展阶段对股市波动的影响表现出一定的差异性，这主要是与当时的宏观经济环境以及经济变量自身的特征有关。

关键词: 宏观经济, 股市波动, GARCH-MIDAS模型, 混频数据

Abstract: The paper takes macro-economic variables as research variables, and uses GARCH-MIDAS（Mixed Data Sampling） model to study the correlation between macro-economy and stock market volatility in China. The result reveals that the multi-factor GARCH-MIDAS model can behave well between macro-economy and stock market volatility. Industrial value-added and total retail sales of consumer goods have a positive impact on long-run stock market volatility, and this effect is gradually increasing. Interest rates and the broad money supply（M2） have shown some differences on the impact of stock market volatility in different stages of economic development, which is mainly related to the macro-economic environment at that time and the characteristics of economic variables.

Key words: macro-economy, stock market volatility, GARCH-MIDAS model, mixed frequency data

石强，杨一文，刘雅凯. 基于GARCH-MIDAS模型的宏观经济与股市波动关系[J]. 计算机工程与应用, 2019, 55(15): 257-262.

SHI Qiang, YANG Yiwen, LIU Yakai. Correlation Between Macro-Economy and Stock Market Volatility Based on GARCH-MIDAS Model[J]. Computer Engineering and Applications, 2019, 55(15): 257-262.

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基于GARCH-MIDAS模型的宏观经济与股市波动关系

Correlation Between Macro-Economy and Stock Market Volatility Based on GARCH-MIDAS Model

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