中文摘要：

假设股票收益率序列服从具有厚尾特征的GED分布,利用多种非对称性模型描述和检验了沪市股票日收益率序列的波动性特征,发现股票价格波动具有条件异方差性,并通过对股票市场信息影响曲线的分析,刻画了沪市股票价格波动中的显著非对称性。这说明股市波动对于不同的政策干预和信息冲击具有不同程度的反应,且非对称性的方向与以往结论有所不同,说明我国股市风险变异特征和收益状况在不断的发生变化,＂利好消息＂对股市的刺激作用需要其他市场干预的配合才能发挥出来。

英文摘要：

Based on the GED distribution,by using the asymmetric GARCH model,this paper analyzes the characteristics of the stock price volatility of the Shanghai stock market.Through the news impact curve,it is found that the stock price fluctuation shows its significant asymmetry.The stock market volatility responds in different ways to economic policies and updated information,and the ＂good news＂ incentives for stock market investors to buy stocks should be assisted by other market interruptions.