基于arch族模型的沪市股票波动性的实证分析毕业论文.doc

数学与统计学院2013届毕业论文PAGEii毕业论文题目基于ARCH族模型的沪市股票波动性的实证分析学院数学与统计学院专业统计学基于ARCH族模型的沪市股票波动性的实证分析摘要：本文以上证综指为研究对象,运用EViews6.0统计软件对样本数据进行统计分析,主要得出以下结论：序列数据具有显著的“尖峰厚尾”特征,存在波动的聚集性效应,上海股市具有显著的ARCH效应,并且股市“杠杆效应”显著.通过各个模型的参数估计、适应性检验以及模型的AIC、LogL的比较分析,最终得出结论E-GARCH(1,1)模型比较适合刻画上证综指的波动特性.关键词：ARCH效应;条件异方差;GARCH模型;E-GARCH模型;TARCH模型分类号：O212文献标识码：A数学与统计学院2013届毕业论文TheEmpiricalAnalysisoftheVolatilityofShangHaiStockMarketbasedontheARCHmodelfamilyFENGXue-feng(SchoolofMathematicsandStatistics,TianshuiNormalUniversity,TianshuiGansu741000)Abstract:Shanghaistockindexisresearchedinthepaper,thestatisticalsoftwareEviews6.0isusedtoanalysethecharacteristicsofthesample.Themainconclusionsarethefollowing:Theseriesdatahaveremarkablefeaturesof“rushback”.ThesignificantARCHeffectandvolatilityclusteringissurveyedintheShanghaistockmarket.Throughthecomparisionofparameterestimating,adaptabilitytestandAIC、LogLofeachmodel,theE-GARCH(1,1)modelisthebestonetosimulatethevolatilitycharacteristicsoftheyieldseriesofShanghaistockcompositepriceindex.Keywards:ARCHeffect,conditionalheteroskedasticity,GARCHmodel,E-GARCHmodel,TARCHmodel目录1.引言……..……..……………………………………………………………..12.GARCH模型相关理论………………………………………………………32.1ARCH模型……………………..………………………………………………32.1.1ARCH模型提出的背…………..…………………………………………32.1.2ARCH模型的定义………..…..…………………………………………32.1.3ARCH模型的特点………..………………………………………………42.1.4ARCH模型的不足…….........…………………………………………….42.2GARCH模型…………………………………………………………………...52.2.1GARCH模型的定义…………..……….…………………………………52.2.2GARCH（1,1）模型………….…………………………………………….52.2.3GARCH模型的特点………...……………………………………………62.2.4GARCH(r,s)模型的不足………..…...……………………………………62.3GARCH模型的其它拓广……………………………………………………...62.3.1E-GARCH模型……..……..………………………………………….......62.3.2TARCH模型………..…………………………………………………......73.沪市股价指数收益率的基本统计分析和检验……...…………………………..93.1收益率的描述性统计分析……………………………………………………..93.2平稳性检验……………………………………………………………………103.3自相关检验........................................................................................................103.4ARCH效应的检验.....................................................