中文摘要：

在随机误差项分别为正态、学生t及广义误差分布的假设下，用ARMA—GARCH、ARMA—EGARCH及ARMA—TARCH模型，对1995年12月至2008年3月沪深2市的A股指数的日收益率波动性进行实证分析。结果显示：沪深2市股指日收益率都存在着波动非对称性；在极大似然准则和AIC原则下，能最好地描述中国A股市场指数波动的模型为ARMA—EGARCH模型。

英文摘要：

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.