用GARCH模型预测股票指数波动率.doc

用GARCH模型预测股票指数波动率 目录 Abstract 2 1.引言 3 2.数据 6 3.方法 7 3.1．模型的条件平均 7 3.2. 模型的条件方差 8 3.3 预测方法 9 3.4 业绩预测评价 9 4.实证结果和讨论 12 5.结论 16 References 18  Abstract This paper is designed to make a comparison between the daily conditional variance through seven GRACH models. Through this comparison, to test whether advanced GARCH models are outperforming the standard GARCH models in predicting the variance of stock index. The database of this paper is the statistics of 21 stock indices around the world from 1 January to 30 November 2013. By forecasting one –step-ahead conditional variance within different