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证券市场中,β系数一直被用做对系统风险的度量。本文运用GARCH—M模型对深市13个行业的时变β系数进行了估计,得出各行业的时变β系数,并对时变β系数的特征进行了描述分析。
In the securities market, the beta coefficient has been used as a measure of systemic risk. In this paper, the GARCH-M model was used to estimate the time-varying β coefficients of 13 industries in Shenzhen, and the time-varying β coefficients of various industries were obtained. The characteristics of time-varying β coefficients were described and analyzed.