《浦发银行股票收益率风险度量实证分析-基于条件异方差模型毕业设计说明书论文》.doc

淮 阴 工 学 院 毕业设计说明书（论文） 作 者: 薛雪 学 号： 111 学 院: 数理学院 专 业: 信息与计算科学（金融数学与金融工程） 题 目: 浦发银行股票收益率风险度量实证分析 -基于条件异方差模型指导者：评阅者：2015 年 5 月 毕业设计说明书（论文）中文摘要上世纪九十年代以来，我国经济的发展进入一个新的阶段，金融市场有了翻天覆地的变化。但我国的证券市场仍处在发展初期，市场各方面的不完善性仍较为明显，随着证券市场规模的扩大和效率的提高，金融风险也大为加剧，而证券市场在风险度量方面仍存在较大缺失，找到一种准确高效地风险度量方法也是当下的热点问题。本文是基于条件异方差模型对浦发银行股票收益率进行风险度量实证分析。首先选取了浦发银行股票股价指数，采取了对数收益率计算法得出股票收益率序列。对股票收益率序列建立模型，回归后得到了残差序列。最后对残差序列建立模型，根据条件方差方程计算得出条件方差，进而计算股票收益率日在险值。关键词 股票收益率，风险度量，GARCH模型，VaR毕业设计说明书（论文）外文摘要 Title Shanghai Pudong Development Bank Stock Yield Risk Measurefor Empirical Analysis -Based on Conditional Heteroscedastic ModelAbstract Since the 1990s, the economic development of China entered into a new stage , financial markets had the earth-shaking changes。But the securities market in the early stage of development, many aspects of the securities market remainsd to be perfected. With the expansion of the securities market and it’s increased efficiency, the financial risk is greatly increased. And the stock market risk measurement is still a big loss, so finding an accurate and efficient measurement of risk becomes todays hot topic. This article is about risk measure based on the heteroscedastic model. I selected the stock price index of Shanghai pudong development bank and adopted the logarithm yield calculation .Make a mode based on the stock yield sequencel, return the residual sequence.Then,.I make a mode based on the residual error sequence, and calculate conditional variance according to the conditional variance equation, and then calculate the stock yield, value at risk.Keywords yield, risk measure, GARCH, VaR目 录 1 引言………………………………………………………………………………… 1 2 研究背景…………………………………………………………………………… 1 2.1 研究意义………………………………………………………………………… 1 3 金额市场的风险…………………………………………………………………… 2 3.1 金额市场风险的定义…………………………………………………………… 2 3.2 金额市场风险的分类…………………………………………………………… 2 3 GARCH模型和VaR计算……………………………………………………… 3 3.1 自回归条件异方差模型（）……………………………………………… 3 3.2 广义自回归条件异方差模型（）……………………………………… 4 3.3 模型（）……………