基于GARCH模型股票风险度量探究.docVIP

基于GARCH模型的股票风险度量探究 姓 名：曹 荔 院部名称：数学学院 专 业：应用数学 研究方向：经济数学 摘 要 经过近20年的发展，我国市场已形成了与我国经济发展相适应的特色道路，规模不断扩大，上市公司数量不断增加，投资者积极性不断提高，制度性建设日趋完善。但股票市场在诸多方面的不完善性仍较为明显。深市场风险度量的模型选择与比较分别采用等权移动平均方法、指数加权移动平均方法、GARCH(1，1)方法、GARCH(1，1)-t方法和Pareto型极值分布方法计算上海和深圳股票日收益率的VaR。向后检验表明，Pareto型极值分布方法比其他方法更能准确地反映我国股市的风险。Abstract After almost 20 years of development, our country securities market has already formed with Chinas economic development to adapt the characteristics of road, scale unceasingly expands, the listed company increasing of quantity, investor enthusiasm unceasing enhancement, institutional construction increasing perfection. But stock market in many aspects of faultiness remained relatively obvious. Especially since the start of 2008 decline of market caused a great negative impact, harm the interests of the investment. So of the securities market risk metric become the focus of the financial market management, risk metric gradually become the core of financial market risk management, and at the same time, these also poses a challenge to risk measurement, need more suitable model methods to deal with these situations. At present, a measure of risk more popular method is VaR method. VaR can not only for the future situation of estimation, and only with a single figures can be characterized a combination or a financial institution in a period of facing the market risk. Actual assets income distribution has rush yixiang characteristic, in normal distribution under the condition of the VaR estimate will lead to produce underestimated risk measurement VaR. Based on GARCH (generalized auto-regressive conditional heteroscedastic) model was established by Tim Bollerslev in the ARCH model based on carry out. GARCH model describes the stock market returns sequence between autocorrelation, have reflect market time-varying characteristics, can better description of financial market dynamics and complexity. This paper will be divided into 4 chapter GARCH model to explore the st