基于arch族模型的沪市股票波动性的实证分析大学本科生毕业（设计）论文.doc

毕业论文 题 目 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  The Empirical Analysis of the Volatility of ShangHai Stock Market based on the ARCH model family FENG Xue-feng (School of Mathematics and Statistics, Tianshui Normal University, Tianshui Gansu 741000) Abstract: Shanghai stock index is researched in the paper, the statistical software Eviews6.0 is used to analyse the characteristics of the sample. The main conclusions are the following: The series data have remarkable features of “rush back” . The significant ARCH effect and volatility clustering is surveyed in the Shanghai stock market. Through the comparision of parameter estimating, adaptability test and AIC、LogL of each model, the E-GARCH(1,1)model is the best one to simulate the volatility characteristics of the yield series of Shanghai stock composite price index. Key wards: ARCH effect, conditional heteroskedasticity, GARCH model, E- GARCH model, TARCH model 目 录 1. 引言……..……..……………………………………………………………..1 2. GARCH模型相关理论………………………………………………………3 2. 1 ARCH模型……………………..………………………………………………3 2. 1. 1 ARCH模型提出的背…………..…………………………………………3 2. 1. 2 ARCH模型的定义 ………..…..…………………………………………3 2. 1. 3 ARCH模型的特点………..………………………………………………4 2. 1. 4 ARCH模型的不足…….........…………………………………………….4 2. 2 GARCH模型…………………………………………………………………...5 2. 2. 1GARCH模型的定义…………..……….………………………………… 5 2. 2. 2 GARCH（1, 1）模型………….…………………………………………….5 2. 2. 3 GARCH模型的特点………...……………………………………………6 2. 2. 4GARCH(r, s)模型的不足………..…...……………………………………6 2. 3 GARCH模型的其它拓广……………………………………………………...6 2. 3. 1 E-GARCH模型……..……..………………………………………….......6 2. 3. 2 TARCH模型………..……………………