运用GARCH类模型分析商业百货类股票的价格波动

发布时间：2018-03-03 07:22

本文选题：GARCH模型　切入点：商业指数　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文首先介绍了国内外股价预测理论的各种方法以及商业百货股票的划分和各项特征。着重分析了商业百货企业经营业绩的影响因素。在实证部分,选取了商业指数中的7只具有代表性的成分股作为样本,通过描述性分析方法分析了商业类上市公司的股票波动性。根据基本统计量的分析得到商业百货类股票的一般波动特征。各项数据表明商业百货类的整体股票活跃程度和收益率高于大盘平均水平。商业百货类股票的日收益率涨的天数与跌的天数基本是持平的。商业百货类股票的整体趋势比较平稳,很少有脱离股票大环境的暴涨暴跌。另外,商业类百货股票的日收益率高于沪深指数的日收益率。另外,对商业指数做了实证分析发现商业指数存在明显的GARCH效应。日收益率并不遵循正态分布的方式,而是存在尖峰后尾的现象,显示了明显的异方差性。用GARCH(1,1)拟合后,相关系数之和接近于1.这表明条件方差所受的冲击很持久,所受的波动是持续的。商业指数股票的收益率存在明显的GARCH-M的效应。商业百货类股票存在收益和风险存在这正相关的关系。用TARCH模型拟合后,发现其具有相应的非对称的效果。这表明商业百货类股票对于好消息和坏消息的承受波动是有区别的。
[Abstract]:This paper first introduces the various methods of stock price prediction at home and abroad, and the division and characteristics of the commercial department stock.
In the empirical part, selects 7 representative stocks in the index of business as samples, through descriptive analysis method to analyze the volatility of stock commercial listed companies. According to the general wave characteristic analysis of the basic statistics of business department stocks. The data show that the overall stock of commercial department store level of activity and income rate higher than the market average. Commercial retail stocks rose days of daily return and down the number of days is basically flat. The overall trend of commercial retail stocks is relatively stable, there is little out of stock environment spike. In addition, the daily return business department stock daily return rate is higher than the Shanghai index.
In addition, the index of business to do the empirical analysis shows that there are obvious GARCH effect. The index of business daily returns do not follow normal distribution, but the existence of the phenomenon of tail spikes, showed obvious heteroscedasticity. Using GARCH (1,1) after fitting, and the correlation coefficient is close to 1. which indicates that the conditional variance the impact is very durable, the fluctuation is sustained. Effect of commercial rate of return of the stock index has obvious GARCH-M. Commercial retail stocks exist the positive relation between income and risk. Fitted with TARCH model, we find that it has the corresponding asymmetric effect. This shows that the commercial department store there is a difference between the bear stock fluctuation of good news and bad news.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F721;F832.51

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