ARCH類模型在上證指數(shù)中的應(yīng)用

信息計(jì)算科學(xué)論文編號(hào):XXLW058 論文字?jǐn)?shù):12214,頁(yè)數(shù):31

目  錄

中文摘要 Ⅰ
英文摘要 Ⅱ
目  錄 Ⅲ
第一章  緒論  1
 1.1  研究動(dòng)機(jī)與目的 1
 1.2  研究背景 1
 1.3  研究方法 2
 1.4  論文內(nèi)容概述 2
第二章  上證指數(shù)日收益率基本統(tǒng)計(jì)特征分析  3
 2.1  樣本選取及數(shù)據(jù)處理 3
 2.2  樣本數(shù)據(jù)的基本統(tǒng)計(jì)特征分析 3
 2.2.1 正態(tài)性分析 3
 2.2.2 平穩(wěn)性檢驗(yàn) 4
 2.2.3 均值方程的確定及殘差序列自相關(guān)檢驗(yàn) 6
 2.2.4 異方差性檢驗(yàn)檢驗(yàn) 9
第三章  ARCH類模型在上證指數(shù)波動(dòng)分析中的應(yīng)用 10
 3.1 模型簡(jiǎn)介 10
 3.1.1 ARCH模型 10
 3.1.2 廣義ARCH模型——GARCH（p，q）模型 11
 3.1.3 ARCH-M及GARCH-M模型 11
 3.2 ARCH效應(yīng)檢驗(yàn) 12
 3.2.1 粗略檢驗(yàn) 12
 3.2.2 ARCH-LM檢驗(yàn) 13
 3.3 ARCH類模型的具體應(yīng)用 14
 3.3.1 參數(shù)估計(jì) 14
 3.3.2 模型存在的缺陷 16
第四章  模型的進(jìn)一步推廣應(yīng)用 18
    4.1 非對(duì)稱性研究 18
 4.2 模型簡(jiǎn)介 19
 4.2.1 TARCH模型 19
 4.2.2 EGARCH模型 19
 4.3 非對(duì)稱ARCH類模型的應(yīng)用 20
 4.3.1 TARCH模型估計(jì)結(jié)果 20
 4.3.2 EARCH模型估計(jì)結(jié)果 21
第五章 結(jié)論 24
致  謝 25
參考文獻(xiàn) 26

摘     要

 ARCH模型是一種動(dòng)態(tài)非線性的時(shí)間序列模型，它反映了經(jīng)濟(jì)變量之間的特殊的不確定形式：方差隨時(shí)間變化而變化。作為一種全新的理論，ARCH模型在近年來(lái)取得了極為迅速的發(fā)展，已被廣泛應(yīng)用于經(jīng)濟(jì)金融領(lǐng)域。中國(guó)股票市場(chǎng)自建立起到現(xiàn)在取得了長(zhǎng)足的進(jìn)步，但市場(chǎng)表現(xiàn)出的波動(dòng)幅度和風(fēng)險(xiǎn)性要大大高于國(guó)外成熟的資本市場(chǎng)，因此對(duì)其進(jìn)行波動(dòng)特征研究就顯得尤為重要。
 本文以上證綜指日收益率作為研究對(duì)象，采用EViews5.0統(tǒng)計(jì)軟件對(duì)樣本數(shù)據(jù)進(jìn)行統(tǒng)計(jì)分析，將ARCH類模型應(yīng)用于我國(guó)股票市場(chǎng)的實(shí)證研究,從實(shí)證結(jié)果中總結(jié)出中國(guó)股市的總體特征，主要得出以下結(jié)論：序列數(shù)據(jù)的尖峰厚尾特征；收益率與風(fēng)險(xiǎn)同向波動(dòng)特征；序列數(shù)據(jù)波動(dòng)的非對(duì)稱特征。
關(guān)鍵詞：  上證指數(shù)  ARCH  波動(dòng)性  條件異方差 日收益率

Abstract
 ARCH model is a kind of dynamic non-linear time series model. It reflects a special feature of economic variables time-varying variances. As a new theory, ARCH model has caused extensive interests of economists and has been developed very fast since it came into being. Now it is being widely used in economic and financial fields. Chinese stock market grows fast and has made great progress since it was founded. However our country ’s stock market is very young, and the market risk and volatility is much larger than that of foreign markets, so it is very necessary to study the volatility character of it.
  In this text，Shanghai stock composite price index will be regarded as the main study object and describe the volatility character with the statistic software EViews5.0.
 Main characteristics, such as excess kurtosis, rate of return and risk fluctuate in the same direction, asymmetric effect of the series dates volatility will be founded through ARCH model on China’s stock market.

Keywords：Shanghai stock price index; ARCH; Volatility; conditional heteroskedasticity; daily rate of return