我国沪深股市的波动性研究基于GARCH模型-康秋霞.docxVIP

摘要 股票市场充满不确定性。信息、资本的快速流动使股票价格不断变化，从而 导致市场之间互相传导。股票价格波动是股市的基本特征，正常的波动有利于活 跃股票市场，使市场交易得以持续进行，但剧烈、频繁的波动就会增加市场风险， 影响投资者判断，甚至打击投资者信心。我国沪深股票市场是个正在发展的市场，市场，波动的高风险特征显得尤为突出。因此，研究我国沪深股市的波动特征对于政府管理层和投资者均具有很强的现实意义。 本文在前人的基础上合理利用GARCH模型对2008.01.03-2013.07.08上证综指和深证成指的日收益率的波动进行了实证分析。 关键词：波动性,ARCH,GARCH abstract The stock market is full of uncertainty. the rapid mobility of capital and information make stock prices are constantly changing, so Lead to markets conduct each other. The stock price fluctuations are the basic characteristics of the stock market, normal one is conducive to enliven the stock market, then the market transactions can be ongoing, but intense, frequent fluctuations will increase market risk.Influence investors judgments, and even hit the confidence of them. Shanghai and Shenzhen stock market is a developing market, volatility is particularly prominent high-risk characteristic. Therefore, the study of the Shanghai and Shenzhen stock market volatility characteristic is useful to both management and investors . ?In this paper, basing on the rational use of GARCH model study the stock price of Shanghai Composite Index and Shenzhen Component Index from 2008.01.03 to 2013.07.08 and the volatility of daily returns . Keywords:volatility,ARCH,GARCH 目录 TOC \o 1-3 \h \z \u HYPERLINK \l _Toc361355878 摘要 PAGEREF _Toc361355878 \h 1 HYPERLINK \l _Toc361355880 1、绪论 PAGEREF _Toc361355880 \h 3 HYPERLINK \l _Toc361355881 1.1 研究背景及问题的提出 PAGEREF _Toc361355881 \h 3 HYPERLINK \l _Toc361355882 1.2 研究意义 PAGEREF _Toc361355882 \h 3 HYPERLINK \l _Toc361355883 1.3 研究思路及内容 PAGEREF _Toc361355883 \h 3 HYPERLINK \l _Toc361355884 2、文献综述 PAGEREF _Toc361355884 \h 4 HYPERLINK \l _Toc361355885 3、主要名词介绍 PAGEREF _Toc361355885 \h 4 HYPERLINK \l _Toc361355886 4、相关理论模型 PAGEREF _Toc361355886 \h 5 HYPERLINK \l _Toc361355887 5实证分析 PAGEREF _Toc361355887 \h 6 HYPERLINK \l _Toc361355888 5.1 数据特征 PAGEREF _Toc361355888 \h 6 HYPERLINK \l _Toc361355889 5.2 建立模型 PAGEREF _Toc361