基于GARCH模型的沪深300指数收益率波动性.docx 全文

  本文关键词：基于GARCH模型的沪深300指数收益率波动性分析，由笔耕文化传播整理发布。

基于GARCH模型的沪深300指数收益率波动性分析姓名： 专业班级： 指导老师： 摘 要股票价格的波动性在理论界和实务界都是一个热点问题。本文借鉴发达市场的研究文献，运用GARCH模型作为工具,检验了沪深300指数日收益率的波动性的变化。研究结果表明：沪深300指数日收益率波动从时间上呈现出明显的可变性和集簇性,序列分布呈现尖峰厚尾等特点,并且存在明显的GARCH效应，表明过去的波动对未来的影响是逐渐衰减的；模型还存在明显的GARCH-M效应，说明收益有正的风险溢价；通过建立TARCH模型和EARCH模型，发现沪深300指数收益率存在明显的杠杆效应，，这反映出在我国股指期货市场上坏消息引起的波动要大于好消息引起的波动。关键词：股指波动性ARCH模型GARCH模型CSI 300 Index Volatility Based on GARCH Model AnalysisAbstract:Stock price fluctuations is a hot spot in both theoretical circles and community of practice. Basing on the literature search of developed markets, this article tries to use GARCH model as tools, to test the daily return volatility changes of CSI 300 index. And the results indicate that CSI 300 index daily return volatility show variability from the time and a clear set of clusters of the sequence showed a fat tail distribution characteristics, and there exists significant GARCH effect, which indicates that the volatility of the past influence the future gradually decay. What’s more, there also exists obvious GARCH-M effect, which shows that the risk premium income does exist. Through the establishment of the model EARCH and TARCH, we found CSI 300 index significant leverage effect exists,which reflects the volatility of the stock index futures market in China caused by bad news easier than good news. Key words: Stock index futures volatility; ARCH model; GARCH model目录第1章前言11.1选题的背景和研究架结构2第2章相关理

  本文关键词：基于GARCH模型的沪深300指数收益率波动性分析，由笔耕文化传播整理发布。