摘要
收益率的波动性特征是金融市场最常见特征之一，加密数字货币作为金融资
产的一种，受众多金融从业者和学者所关注，国内外学者为此开展了很多研究。
本研究选取 2016年 3月 9日至 2021年 4月 7日期间的比特币、莱特币和以太
币收盘价数据，并将全样本空间划分为三个阶段，采用对数收益率计算日收益率，
接下来对三种加密数字货币的收益率进行描述统计分析，并在此基础上构建了
GARCH族模型进行实证检验，探讨三种加密数字货币收益率的波动性特征。
实证分析结果表明：（1）整个样本空间和各个阶段内的加密数字货币收益率
序列的分布均具有“尖峰厚尾”的特征，但不同阶段内具有不同的阶段性特征；（2）
第一阶段中，比特币和以太币的 GARCH效应要强于全样本区间内数据进行拟合
所得出的效应强度，比特币市场对于好消息的冲击更敏感；（3）第二阶段中，外
界冲击对莱特币的影响的持久性最强，而以太币市场抗风险冲击波动的能力最强；
相比于利好消息，比特币和莱特币收益率的波动更易受利空消息影响，后者所展
现出的非对称效应更强。（4）第三阶段中，相比于利好消息，莱特币和以太币均
受利空消息的影响更大，利空消息对莱特币收益率波动的冲击程度更强，莱特币
市场呈现出更强的不稳定。
为加强金融市场规范管理，有效防范系统性金融风险，我们提出如下政策建
议：（1）完善政府监管，针对加密数字货币这一新型金融资产，加强协调性监管、
沙盒监管、穿透式监管等措施；（2）加强信息披露，定期由权威平台披露全网算
力、新开区块数、活跃账户数量等指标在内的核心数据；（3）提高投资者素质，
加强投资者教育，扭转人们热衷投机，快进快出追涨杀跌的短线交易行为。
关键词：加密数字货币；GARCH族模型；比特币；波动性

Abstract
The volatility of yield is one of the most common characteristics of financial
market. Cryptocurrency attracts the attention of many financial practitioners and
scholars as a kind of financial assets, and scholars at home and abroad have carried out
a lot of research. This paper selects the closing price data of Bitcoin, Litecoin and Ether
from March 9, 2016 to April 7, 2021, divides the whole sample space into three stages,
and then calculates the daily rate of return by using the logarithmic rate of return. On
this basis, we make a descriptive statistical analysis of the rates of return of the three
cryptocurrencies and use the GARCH family model for empirical test to discusse the
volatility characteristics for the rate of return of these cryptocurrencies.
The empirical analysis results show that: (1) The distribution of cryptocurrency
yield series in the whole sample space and each stage has the characteristics of”peak
and thick tail”, but different stages have specific features; (2) In the first stage, the
GARCH effect of Bitcoin and Ether is stronger than it shown in the whole sample range,
and the Bitcoin market is more sensitive to the impact of good news; (3) In the second
stage, the impact of external impact on Lettercoin is the most persistent among three
cryptocurrency, while the duration of external shock on Ether is the weakest. The
fluctuation of Bitcoin and Lettercoin is more susceptible to negative news than good
one, and Lettercoin shows more significant asymmetry; (4) In the third stage, compared
with good news, both Lettercoin and Ether are more sensitive to the bad one. What’s
more, Lettercoin is more affected by bad news, which shows Lettercoin is more
vulnerable.
In order to strengthen the standardized management of financial market and
effectively prevent systemic financial risks, we put forward the following policy
suggestions: (1) Improve government supervision. For example, regulatory authority
can use coordination supervision, Sandbox supervision and penetrating supervision to
supervise cryptocurrency; (2) Strengthen information disclosure. Establish an effective
information disclosure system to regularly disclose core data which includes the whole

network computing power, number of blocks and number of active accounts by
authoritative platform; (3) Improve the quality of investors. It's necessary for regulatory
authority to strengthen the education of investors to reverse the short-term speculation
trading behaviors of market participants.
Key words: Cryptocurrency; GARCH family model; Bitcoin; Volatility
。。。以下略