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1、數(shù)學與統(tǒng)計學院2013屆畢業(yè)論文畢業(yè)論文題目基于ARCH族模型的滬市股票波動性的實證分析學院數(shù)學與統(tǒng)計學院專業(yè)統(tǒng)計學ii數(shù)學與統(tǒng)計學院2013屆畢業(yè)論文基于ARCH族模型的滬市股票波動性的實證分析摘要:本文以上證綜指為研究對象,運用EViews6.0統(tǒng)計軟件對樣本數(shù)據(jù)進行統(tǒng)計分析,主要得出以下結(jié)論:序列數(shù)據(jù)具有顯著的“尖峰厚尾”特征,存在波動的聚集性效應(yīng),上海股市具有顯著的ARCH效應(yīng),并且股市“杠桿效應(yīng)”顯著.通過各個模型的參數(shù)估計、適應(yīng)性檢驗以及模型的AIC、LogL的比較分析,最終得出結(jié)論E-GARCH(1,1)模型比較適合刻畫上證綜指
2、的波動特性.關(guān)鍵詞:ARCH效應(yīng);條件異方差;GARCH模型;E-GARCH模型;TARCH模型分類號:O212文獻標識碼:Aii數(shù)學與統(tǒng)計學院2013屆畢業(yè)論文TheEmpiricalAnalysisoftheVolatilityofShangHaiStockMarketbasedontheARCHmodelfamilyFENGXue-feng(SchoolofMathematicsandStatistics,TianshuiNormalUniversity,TianshuiGansu741000)Abstract:Shanghaistoc
3、kindexisresearchedinthepaper,thestatisticalsoftwareEviews6.0isusedtoanalysethecharacteristicsofthesample.Themainconclusionsarethefollowing:Theseriesdatahaveremarkablefeaturesof“rushback”.ThesignificantARCHeffectandvolatilityclusteringissurveyedintheShanghaistockmarket.Throu
4、ghthecomparisionofparameterestimating,adaptabilitytestandAIC、LogLofeachmodel,theE-GARCH(1,1)modelisthebestonetosimulatethevolatilitycharacteristicsoftheyieldseriesofShanghaistockcompositepriceindex.Keywards:ARCHeffect,conditionalheteroskedasticity,GARCHmodel,E-GARCHmodel,TA
5、RCHmodelii數(shù)學與統(tǒng)計學院2013屆畢業(yè)論文目錄1.引言……..……..……………………………………………………………..12.GARCH模型相關(guān)理論………………………………………………………32.1ARCH模型……………………..………………………………………………32.1.1ARCH模型提出的背…………..…………………………………………32.1.2ARCH模型的定義………..…..…………………………………………32.1.3ARCH模型的特點………..………………………………………………42.1.4ARCH模型的不足……....
6、.....…………………………………………….42.2GARCH模型…………………………………………………………………...52.2.1GARCH模型的定義…………..……….…………………………………52.2.2GARCH(1,1)模型………….…………………………………………….52.2.3GARCH模型的特點………...……………………………………………62.2.4GARCH(r,s)模型的不足………..…...……………………………………62.3GARCH模型的其它拓廣……………………………………………………...62.3.1E-GA
7、RCH模型……..……..………………………………………….......62.3.2TARCH模型………..…………………………………………………......73.滬市股價指數(shù)收益率的基本統(tǒng)計分析和檢驗……...…………………………..93.1收益率的描述性統(tǒng)計分析……………………………………………………..93.2平穩(wěn)性檢驗……………………………………………………………………103.3自相關(guān)檢驗..........................................................................
8、..............................103.4ARCH效應(yīng)的檢驗......................................