基于ARCH模型的我国饮料行业股票波动性分析

发布时间：2018-04-03 07:35

本文选题：股市波动性　切入点：收益率　出处：《首都经济贸易大学》2014年硕士论文

【摘要】：作为度量市场风险的一个重要的因素，波动率近年来愈来愈为人们所重视，对于波动率的分析结论最终会影响到资产与风险管理。在对现代金融的实证研究中，研究者发现很多时间序列的误差序列并不存在自相关，而其误差的平方序列却存在自相关的现象，即误差的方差或波动随时间变化。自回归异方差模型正是处理此类问题的重要方法，随着近年来的深入研究，ARCH模型取得了迅速的发展，由于其能解释波动性的问题，ARCH模型被大量应用于金融数据的时间序列的分析之中。本文以中国饮料行业板块日收益率为研究对象，，采用ARCH族模型并结合Eviews计量分析软件研究其股价波动性的统计特征。通过对数据建立GARCH、TGARCH与EGARCH模型对其结果进行实证分析。实证表明，我国饮料行业板块具有尖锋厚尾，异方差,同时具有其波动的持续性与非对称性的特点。
[Abstract]:As an important factor to measure market risk volatility has been paid more and more attention in recent years. The conclusion of volatility analysis will ultimately affect asset and risk management.In the empirical study of modern finance, researchers find that many time series error series do not exist autocorrelation, but the square of error series exists autocorrelation phenomenon, that is, the variance or fluctuation of error changes with time.Autoregressive heteroscedasticity model is an important method to deal with this kind of problem.Because of its ability to explain volatility, arch model is widely used in time series analysis of financial data.This paper studies the statistical characteristics of stock price volatility by using ARCH family model and Eviews econometric analysis software, taking the daily yield of Chinese beverage industry as the research object.The results are analyzed empirically by using the GARCH-TGARCH and EGARCH models.The empirical results show that the beverage industry in China has the characteristics of sharp front and thick tail, heteroscedasticity, persistence and asymmetry of fluctuation.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F426.82;F832.51

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