1 2 3 GARCH GARCH α > 0 α i > 0 p α i + q β j < 1 i = 1 j = 1 α < 0 β < 0 p α i + q β j < 1 i = 1 j = 1 1. GARCH α + β > 1 α β α > 0 β < 1 α + β > 1 4

27 6 2017 JOURNAL OF UNIVERSITY OF JINANSocial Science Edition Vol. 27 No. 6 2017 GARCH 1 2 2 1. 4750002. 475000 2016 6 6 GARCH GARCH F832. 51 A 1671-3842201706 - 0129-11 GARCH 1 2 EARCH 3 4 17BJY194 1 2001 3 2 2003 3 3 EGARCH 2005 8 4 2006 8 129

1 2 3 GARCH GARCH α > 0 α i > 0 p α i + q β j < 1 i = 1 j = 1 α < 0 β < 0 p α i + q β j < 1 i = 1 j = 1 1. GARCH α + β > 1 α β α > 0 β < 1 α + β > 1 4 2. p α i + q β j 1 i = 1 j = 1 1 1 1 5 GARCH S 1 2007 7 2 2012 5 3 2013 8 4 GARCH 2010 2 5 2011 7 130

GARCH 1944 2008 1 1 2008 9 131

2012 12 2015 10 A 6 1 CSMAR 1 2016 1. 2 6 1681. 09 118619. 53 2 2. Allen Gale 6 A 132 3. = -

GARCH = A OR - = - 6 % 3 3 495. 86% A 25. 62% A 444. 98% 3. 77% 6 132. 20% 95. 99% 42. 98% 73. 99% SPSS Pearson 4 4 1. 0. 089 2. - 0. 228-0. 329 133

1. 1 2. 5 5 5 3. D 1 P n P n - 1 N t N 1 GARCH GARCH GARCH ARCH GARCH 134 1 GARCH 2009 12

GARCH 1 GARCH1 1 ARCH u t u t - 1 ARCHP F t t Y t GARCH ARCH GARCHp q 1 2 p GARCH q ARCH 2 t - 1 u 2 t - 1 α i β j GARCH1 1 3 α 0 u 2 t - 1 ARCH 2 t - 1 GARCH 2016 A 6 90 90 = - = 5 % 6 1 GARCH 1999 4 135

5 6 1. 2. 3. 1. GARCH GARCH S = α + β α i β β j S GARCH1 1 α = α 1 β = β 1 S = α + β 1 136

GARCH 11α + β < 1 2α + β > 1 2. Eviews8. 0 GARCH1 1 1 2 r 0. 000535 0. 040716-7. 028955 < 0 r 76. 88399 3 r 1 2 ARCH t - 11. 41396 P 0 w Zz = w 2 3 Z Q P 0. 000 ARCH GARCH1 1 α β 7 7 0. 840949 1. 040676 0. 983605 S < 1 S > 1 S < 1 5 GARCH1 1 8 137

3. 8 α < 0 GARCH α β > 1 α + β > 1 3 z 7 8 GARCH1 1 * A α > 0 β > 1 α + β > 1 A β < 0 α + β < 0 β α + β 0 0 < α < 1 0 < β < 1 α + β < 1 138

GARCH GARCH GARCH jdxbwenhui@ 163. com 139

( ) development, optimize strategy of training counterpart talents; government should increase investment in innovation and support, strengthen financial subsidies, strengthen the protection of intellectual property rights, implement the development plan and improving financial education expenditure. Research on Stock Market Price Manipulation Based on GARCH Model MA Bin, ZHANG Shasha, YAO Yuan With the development of economics, China s stock market exists gap risk of price manipulation. Related monitoring measures need improvement. This essay researches on 6 real stock price manipulation cases investigated by CSRC(China Securities Regulatory Commission) in 2016. And based on these cases, combined GARCH Model, this essay applies empirical study and summarize general rules. Then this essay finds representative stock characteristics including stock earning ratio, volatility, concentration ratio, mobility and scale as the important observation subjects of Chinese regulators. Besides, based real statistics of current China s stock market, this essay studies and checkouts the mobility characteristics of stock price. According to selected typical characteristics, combined with current institutional system, it also provides corresponding policy suggestions from the aspects of enhancing information disclosure, strengthening investor education, dealing with partition of Stock Right as soon as possible, improving investor construction, strengthening monitoring to account and trade, standardizing the government behavior and perfecting the laws and regulations. Systematic Scheme of Construction of A Modern Country: Memorial on the 80th Anniversary of the publishing of LIANG Shuming s Rural Construction Theory LI Shanfeng Rural Construction Theory proposes an overall approach to traditional Chinese society transformation and national governance. Aiming to cultural dissonance and social disruption caused by cultural exchange between China and the West in early 20 century, LIANG Shuming tried to combine traditional Chinese Confucianism and Western science and technology and organization through social experiment of rural construction, to create a new human social organization form then realize the renaissance of national culture. In the new stage of rural renaissance development, the rural reconstruction experiment also deserves to summarize experience and learn. Social Insurance Payment Request Rights: Subjects, Characteristics and Guarantee LI XiuFeng Policy holder is risk manager of social risk. Social insurance payment request rights is important insurance to their property security. This rights of policy holder varies according to request rights subjects. This difference not only influences the guarantee manner of rights but also the rights realization. ( :) 160