基于CAPM-GARCH-M模型对β系数的估计研究

发布时间：2018-01-03 12:23

本文关键词：基于CAPM-GARCH-M模型对β系数的估计研究　出处：《南京大学》2014年硕士论文　论文类型：学位论文

【摘要】：β系数是在进行投资组合管理、风险控制、收益预测时用来评价、估计单个股票或股票投资组合风险的重要指标之一,来源于资本资产定价模型(CAPM),是证券系统性风险的度量指标。它反映了资产价格的变动受市场上资产价格平均变动的影响程度,在投资理论与投资实践中都有非常重要的地位。本文以国内个人投资者投资热情上涨、资金大量盈余为背景,提供理性投资建议为目的,分析了β系数静态估计方法和动态估计方法。首先基于CAPM单指数模型对随机选取的19个板块β系数进行静态估计,经过Chow稳定性检验,发现静态β系数具有不稳定性,于是选择A股收益率序列为代表建立了GARCH、 GARCH-M、EGARCH动态时间序列模型,经对比分析GARCH-M对A股收益率序列拟合效果最好；最终建立了动态CAPM-GARCH-M模型,用CAPM-GARCH-M模型再次估计19个行业的β系数将得出结果与静态分析结果对比；得出了对板块选择的研究没有意义、β系数具有不稳定性、且板块的波动同A股市场同起同落等结论。
[Abstract]:Beta in portfolio management, risk control, evaluation for revenue forecasts, estimates of an important indicator of individual stocks or stock portfolio risk, from the capital asset pricing model (CAPM), is a measure of the stock systematic risk. It reflects the impact of asset price changes by the price of assets on the market the average change, has a very important role in the investment theories and practice. The rise in domestic individual investors investment enthusiasm, a large amount of capital surplus as the background, to provide rational investment advice for the purpose of beta coefficient estimation method of static and dynamic CAPM. Based on the single index model of static estimation of the random selection 19 blocks of the beta coefficient, after Chow stability test, it was found that the static coefficient is unstable, so the choice of A stock return series is established as the representative of GARCH, GARCH-M, EGARCH dynamic time series model, through the comparative analysis of GARCH-M A stock return series the best fitting effect; finally established a dynamic CAPM-GARCH-M model, CAPM-GARCH-M model is used to estimate the coefficient again in 19 industries will obtain the results are compared with the results of static analysis; was no significance to the study of plate selection, beta coefficient is not the stability and undulation with A stock market rises and falls in the conclusion.

【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.48;F832.5

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