直观的绝对数据表明，我国股市是一个波动较为剧烈的股市，然而立足国际视野，相对地看，我国股市是否仍属于剧烈波动呢？本文通过GARCH模型，对中国大陆、美国、印度及中国台湾四个国家和地区股指的波动性进行比较，并以QFII制度的实行和股权分置改革分别为时间节点将有关时间序列分为三个阶段，系统比较我国股市波动性大小。实证结果表明，与其他国家地区相比，我国股市并非波动性特别剧烈的股市。关键词（本论文范文的主要论点）：波动性GARCH模型QFII制度股权分置改革
A international comparative reserch of our stock market’s volatility
Abstract:Intuitive data shows that our stock market’s volatility is intense. But on the international vision,is our stock market’s volatility still intense? This article uses GARCH model to compare the stock market’s volatility of China,US,India and Taiwan. We use the implementation of QFII system and split share structure reform as time node to divide the related time series for three phase. The results of empirical study indicate that compare to the other countries and areas,our stock market’s volatility is not so intense.
Key words: Volatility GARCH model QFII system split share structure reform
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