关键词： GARCH, 风险结构, 分阶段, 非对称

Abstract: On Februay 19,2001,the B-share market of China was open to domestic residents legally.A larger number of domestic investors pour into the B-share market,which has produced dramatic effect on the risk structure of the B-share market.In this paper,the family of GARCH model was applied in modeling and analyzing Shenzhen B-share market,which was divided into two stages from Februay 19,2001 and the total review period samples.According to the comparison and study of the basic statistical results and the estimators of the model’s parameters of the return series,the necessity and rationality of phased modeling are proved.The phased GARCH model has found that the investment environment of Chinese B-share market has changed gradually for the better,and become more and more regulated,it is becoming a mature stock market.

Key words: GARCH, risk structure, phased, asymmetric