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1、數(shù)學(xué)與統(tǒng)計(jì)學(xué)院2013屆畢業(yè)論文畢業(yè)論文題目基于A(yíng)RCH族模型的滬市股票波動(dòng)性的實(shí)證分析學(xué)院數(shù)學(xué)與統(tǒng)計(jì)學(xué)院專(zhuān)業(yè)統(tǒng)計(jì)學(xué)ii數(shù)學(xué)與統(tǒng)計(jì)學(xué)院2013屆畢業(yè)論文基于A(yíng)RCH族模型的滬市股票波動(dòng)性的實(shí)證分析摘要：本文以上證綜指為研究對(duì)象,運(yùn)用EViews6.0統(tǒng)計(jì)軟件對(duì)樣本數(shù)據(jù)進(jìn)行統(tǒng)計(jì)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(dòng)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(guò)各個(gè)模型的參數(shù)估計(jì)、適應(yīng)性檢驗(yàn)以及模型的AIC、LogL的比較分析,最終得出結(jié)論E-GARCH(
2、1,1)模型比較適合刻畫(huà)上證綜指的波動(dòng)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(lèi)號(hào)：O212文獻(xiàn)標(biāo)識(shí)碼：Aii數(shù)學(xué)與統(tǒng)計(jì)學(xué)院2013屆畢業(yè)論文TheEmpiricalAnalysisoftheVolatilityofShangHaiStockMarketbasedontheARCHmodelfamilyFENGXue-feng(SchoolofMathematicsandStatistics,TianshuiNormalUniversity,TianshuiG
3、ansu741000)Abstract:Shanghaistockindexisresearchedinthepaper,thestatisticalsoftwareEviews6.0isusedtoanalysethecharacteristicsofthesample.Themainconclusionsarethefollowing:Theseriesdatahaveremarkablefeaturesof“rushback”.ThesignificantARCHeffectandvolatilitycl
4、usteringissurveyedintheShanghaistockmarket.Throughthecomparisionofparameterestimating,adaptabilitytestandAIC、LogLofeachmodel,theE-GARCH(1,1)modelisthebestonetosimulatethevolatilitycharacteristicsoftheyieldseriesofShanghaistockcompositepriceindex.Keywards:ARC
5、Heffect,conditionalheteroskedasticity,GARCHmodel,E-GARCHmodel,TARCHmodelii數(shù)學(xué)與統(tǒng)計(jì)學(xué)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………
6、..…..…………………………………………32.1.3ARCH模型的特點(diǎn)………..………………………………………………42.1.4ARCH模型的不足…….........…………………………………………….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(diǎn)………...……………………………………
7、………62.2.4GARCH(r,s)模型的不足………..…...……………………………………62.3GARCH模型的其它拓廣……………………………………………………...62.3.1E-GARCH模型……..……..………………………………………….......62.3.2TARCH模型………..…………………………………………………......73.滬市股價(jià)指數(shù)收益率的基本統(tǒng)計(jì)分析和檢驗(yàn)……...…………………………..93.1收益率的描述性統(tǒng)計(jì)分析……………………………………………………..93.2平穩(wěn)性
8、檢驗(yàn)……………………………………………………………………103.3自相關(guān)檢驗(yàn)........................................................................................................103.4ARCH效應(yīng)的檢驗(yàn)......................................
