金融计量导论ARCH模型实验幻灯片.docxVIP

课程名称 :《金融计量导论》(G)ARCH模型在金融数据中的应用学院:专业与班级: 姓名（学号）:任课教师:提交日期: 目录  TOC \o 1-3 \h \z \u  HYPERLINK \l _Toc420844533 1 实验目的  PAGEREF _Toc420844533 \h 2  HYPERLINK \l _Toc420844534 2 基本概念  PAGEREF _Toc420844534 \h 2  HYPERLINK \l _Toc420844535 3 实验内容及要求  PAGEREF _Toc420844535 \h 3  HYPERLINK \l _Toc420844536 3.1 实验内容  PAGEREF _Toc420844536 \h 3  HYPERLINK \l _Toc420844537 3.2 实验要求  PAGEREF _Toc420844537 \h 3  HYPERLINK \l _Toc420844538 4 沪深股市收益率的波动性研究  PAGEREF _Toc420844538 \h 4  HYPERLINK \l _Toc420844539 4.1 描述性统计  PAGEREF _Toc420844539 \h 4  HYPERLINK \l _Toc420844540 4.2 平稳性检验  PAGEREF _Toc420844540 \h 5  HYPERLINK \l _Toc420844541 4.3 均值方程的确定及残差序列自相关检验  PAGEREF _Toc420844541 \h 7  HYPERLINK \l _Toc420844542 4.3.1 对收益率做自回归  PAGEREF _Toc420844542 \h 7  HYPERLINK \l _Toc420844543 4.3.2用Ljung-Box Q 统计量对均值方程拟和后的残差及残差平方做自相关检验  PAGEREF _Toc420844543 \h 8  HYPERLINK \l _Toc420844544 4.3.3对残差平方做线性图  PAGEREF _Toc420844544 \h 10  HYPERLINK \l _Toc420844545 4.3.4 对残差进行ARCH-LM Test  PAGEREF _Toc420844545 \h 11  HYPERLINK \l _Toc420844546 4.4 GARCH类模型建模  PAGEREF _Toc420844546 \h 13  HYPERLINK \l _Toc420844547 4.4.1 GARCH(1,1)模型估计结果  PAGEREF _Toc420844547 \h 13  HYPERLINK \l _Toc420844548 4.4.2 GARCH-M(1,1)估计结果  PAGEREF _Toc420844548 \h 15  HYPERLINK \l _Toc420844549 5 股市收益波动非对称性的研究  PAGEREF _Toc420844549 \h 17  HYPERLINK \l _Toc420844550 5.1 TARCH模型估计结果  PAGEREF _Toc420844550 \h 17  HYPERLINK \l _Toc420844551 5.2 EARCH模型估计结果  PAGEREF _Toc420844551 \h 19  HYPERLINK \l _Toc420844552 6 沪深股市波动溢出效应的研究  PAGEREF _Toc420844552 \h 21  HYPERLINK \l _Toc420844553 6.1 检验两市波动的因果性  PAGEREF _Toc420844553 \h 21  HYPERLINK \l _Toc420844554 6.1.1 提取条件方差  PAGEREF _Toc420844554 \h 21  HYPERLINK \l _Toc420844555 6.1.3 检验两市波动的因果性  PAGEREF _Toc420844555 \h 21  HYPERLINK \l _Toc420844556 6.2修正GARCH-M模型  PAGEREF _Toc420844556 \h 22