基于GARCH类模型的我国创业板市场风险实证研究

发布时间：2018-02-27 06:08

本文关键词： 创业板指数联动性分析 GARCH类模型 VAR　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

【摘要】：创业板市场主要是用来解决中小型企业的融通资金困难问题的，帮助和支持中小型企业，尤其是成长性较高的新兴企业。对于中国这样一个经济高速发展的国家，中小企业的成长和发展更为棘手。因此，将高成长、具有高新技术的公司引入市场，可以活跃我国的证券市场，同时，可以为投资者提供更多的投资机会，给市场竞争带来活力，也可以提高上市公司本身的竞争力。我国创业板市场主要由高成长性的中小企业组成的，企业面临的风险较大，从而使创业板指数的波动性较大。分析结果显示在5%的显著性水平下，创业板指数变化和上证综指互为格兰杰因果关系，与深成指数也互为格兰杰因果关系，同时进一步研究了创业板市场与上证、深证之间的动态关联关系。本文着重利用GARCH模型及其推广模型建立创业板市场的波动模型来刻画创业板市场的波动情况；接着针对金融资产的尖峰厚尾的特征，引入了能刻画收益率尖峰厚尾特征的广义误差分布（GED分布），分别利用正态分布、t分布、GED分布拟合创业板指数收益率的分布，，对比验证三种分布拟合的精准度，达到更精准地刻画金融资产波动性的要求。最后对创业板市场的风险进行度量，来比较不同波动模型下的风险度量值。通过对在不同置信水平、不同分布、不同GARCH模型下计算的VaR值进行比较并得出：t分布下和99%的置信水平下，容易高估风险；在GED分布下EGARCH-VaR模型对风险的覆盖程度较好。在实际的投资决策过程中，无论风险被高估还是被低估，都不利于决策者对风险进行有效的管理,因此，对创业板市场的波动性风险进行准确的评估可以有效地管理创业板市场的风险。
[Abstract]:The gem market is mainly used to solve the financing difficulties of small and medium-sized enterprises. It helps and supports small and medium-sized enterprises, especially the new ones with relatively high growth. For a country like China, which has a high economic growth rate, The growth and development of small and medium-sized enterprises are more difficult. Therefore, introducing high-growth, high-tech companies into the market can activate our securities market and at the same time, can provide more investment opportunities for investors. Market competition to bring vitality, but also to improve the competitiveness of listed companies themselves. The gem market in China is mainly composed of small and medium-sized enterprises with high growth. The enterprises are facing greater risks, thus making the gem index more volatile. The analysis results show that under the significant level of 5%, The change of the gem index and the Shanghai Composite Index are Granger causality, and the Shenzhen Composite Index is also the Granger causality. At the same time, the dynamic relationship between the gem market and the Shanghai Stock Exchange and the Shenzhen Stock Exchange is further studied. In this paper, we use GARCH model and its extension model to establish the volatility model of gem market to describe the volatility of gem market, and then focus on the characteristics of financial assets peak and thick tail. The generalized error distribution (GED), which can describe the characteristics of the peak and thick tail of yield, is introduced. The distribution of growth enterprise board index yield is fitted by normal distribution / t distribution and GED distribution, respectively, and the accuracy of the fitting of the three distributions is compared and verified. To achieve a more accurate characterization of the volatility of financial assets requirements. Finally, the risk of gem market is measured to compare the risk measures under different volatility models. The calculated VaR values under different GARCH models are compared and it is found that the risk is easily overestimated under the ratio t distribution and the confidence level of 99%, and the EGARCH-VaR model has a better coverage of risk under the GED distribution. Whether the risk is overestimated or undervalued, it is unfavorable for the decision-makers to manage the risk effectively. Therefore, the accurate assessment of the volatility risk of the gem market can effectively manage the risk of the gem market.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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