本文根据Exp-LM内生结构突变检验统计量发现在研究深证成指收益率序列的GARCH(1,1)模型中存在参数变化,而且是ARCH项参数的突变。这一发现可以解释股票市场上存在的风险持续和高峰厚尾现象,说明在考虑参数变化的情况下,股票市场风险的持续性已经显著下降,股票市场可以经受住外来的冲击。 According to the statistics of Exp-LM endogenous structure mutation test, we find that there is a parameter change in the GARCH (1,1) model of the yield series of Shenzhen Component Index, and it is a mutation of the parameters of ARCH. This finding can explain the continuous and peak thick-tail phenomenon existing in the stock market, which shows that under the condition of parameter variation, the persistence of the stock market risk has dropped significantly and the stock market can withstand the external shocks.