股权风险溢价和波动率的相关结构分析

发布时间：2018-03-08 02:26

本文选题：风险溢价　切入点：波动率指标　出处：《华中科技大学》2012年硕士论文　论文类型：学位论文

【摘要】：本文主要论述股票市场收益率和波动率之间的关系，通过一个双变量因素模型来体现波动率指标和风险的市场价格的变化和相互作用。模型使用沪深300指数的超额收益率为研究对象并构造了两个波动率指标，选取了一系列可能对它们产生影响的市场状态变量，来研究两者残差之间的相关性结构，其中两个波动率指标分别是由计算历史收益率的标准差和用GARCH（1，1）模型拟合得到的，而市场状态变量则包含了超额收益率的滞后项、波动率指标的滞后项、上市公司的平均红利收益率、消费者物价水平、公司规模、实际工业增加值同比增长率等变量。然后，将由股票收益率的标准差衡量的模型隐含的波动率和由所选取的波动率指标的期望值来衡量的波动率的预测值两者进行比较，发现两个指标的日内风险溢价遵循相似的模式，而GARCH（1，，1）拟合的波动率提供了最一致的预测。尽管时变的风险溢价和波动率之间存在可能的正相关关系，未预期到的收益率和不同波动率指标之间的相关性是不明确的。对于选中的样本来说，我们没有发现很强的杠杆效应和波动反馈效应，但是当考虑到金融危机对波动率的冲击，在重新选取样本之后，我们发现两个波动率指标都存在明显的杠杆效应和波动反馈效应。说明中国股市还是存在着不对称效应。
[Abstract]:This paper mainly discusses the relationship between return and volatility in stock market. A bivariate factor model is used to reflect the market price change and interaction between volatility index and risk. The model uses the excess return rate of Shanghai and Shenzhen 300 index as the research object and constructs two volatility indexes. A series of market state variables that may have an impact on them are selected to study the correlation structure between the two residual errors. The two volatility indices are obtained by fitting the standard deviation of the historical rate of return and using the GARCHG 1 / 1) model, respectively. On the other hand, the market state variables include the lag term of excess return rate, the lag term of volatility index, the average dividend rate of listed company, the level of consumer price, the company size, the actual industrial added value growth rate and so on. Then, By comparing the implied volatility measured by the standard deviation of the stock return with the predicted volatility measured by the expected value of the selected volatility index, it is found that the intra-day risk premium of the two indexes follows a similar model. The volatility fitted by GARCHL) provides the most consistent prediction. Although there is a possible positive correlation between the time-varying risk premium and volatility, The correlation between unexpected rates of return and different volatility indicators is unclear. For the selected sample, we did not find strong leverage and volatility feedback effects, but when considering the impact of the financial crisis on volatility, After re-selecting the samples, we find that there are obvious leverage effects and volatility feedback effects in the two volatility indices, which indicates that the Chinese stock market still has an asymmetric effect.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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