基于GARCH族模型的我国创业板指数的波动特征的实证研究.docVIP

基于GARCH族模型的我国创业板指数波动特征的实证研究 作 者 姓 名： 指 导 教 师： 单 位 名 称： 专 业 名 称： 金融学 大 学 201年6月  Empiricalrese on the volatility of the gem index based on the GARCH models By XXX Supervisor: XXX XXXX University June 2015 毕业设计（论文）任务书 毕业设计（论文）题目： 设计(论文)的基本内容： 毕业设计（论文）专题部分： 题目：　 　　　　　　　　　　 设计或论文专题的基本内容： 学生接受毕业设计（论文）题目日期 　　　　　　　　　　　　　第　　周 指导教师签字： 年　　月　　日  摘要 近些年来，我国经济发展极为迅速，为适应多层次资本市场的需要，创业板市场在2009年10月正式成立，由于近一年来我国市场扩容，IPO发行速度加快，而创业板市场的上市要求明显低于主板以及中小板，公司自身存在很大风险，造成许多公司在上市后不久出现迅速的变化，导致股价产生剧烈波动，加大了广大投资者的风险，因而对创业板市场研究的迫切性就显现出来。研究股票市场的波动性有利于更好的制定相关政策，对创业板进行管理，有利于投资者更好的分析其市场规律、定价及金融风险控制。 本文重点研究选取截止至年月日为样本运用软件对样本进行了描述性 本文的实证结果表明:α+β来决定，而本文中数据为0.98，十分接近于1，说明创业板依然存在很大风险。 关键字：波动特征，GARCH族模型，创业板Empiricalresearch on the volatility of the gem index based on the GARCH models Abstract In recent years, Chinas economic development is very rapid, in order to adapt to the needs of multi-level capital market, the growth enterprise market was formally established in October 2009, because of our country market expansion in nearly a year, IPO issuance speed is accelerated, and the growth enterprise market listing requirements significantly lower than the main board and small and medium-sized board, the company own existence very big risk, caused many companies to list in appeared shortly after the rapid change, cause the stock price volatility, increased the risk of investors, thus the urgency of the research on the growth enterprise market will emerge. Study the volatility of the stock market is conducive to better develop policies, to manage the gem, is helpful for investors to better analyze the market rules, pricing and financial risk control. This article focuses on the gem index fluctuation characteristics, selected as of April 30 2015, the index of the gem as sample, use Eviews software to the descriptive analysis of samples, and then the sequence of ADF test, autocorrelation test and test the ARCH effect, and then use GARCH and TGARCH model fitting fo