（毕业设计论文）《基于EGARCH模型的我国股市VaR分析》.docVIP

PAGE 19 毕业论文 学 院 金融学院 班 级 金融工程(2)班 学 号 姓 名 题 目 基于EGARCH模型的股市VaR分析 指导教师 讲师 [总评成绩： ] 基于EGARCH模型的股市VaR分析 金融学院 金融工程系 内容摘要：我国股票市场自建立以来，为经济发展所做出的贡献是有目共睹的。但由于我国股市起步较晚，发展尚不成熟，现阶段我国股市所表现出的投机性强、大涨大跌、市场机制不成熟、政策频繁变动、有效性差等问题尤为突出。这些现象说明我国股市的风险现状不容乐观，因此对于我国股市VaR（风险价值）的度量是十分必要的。 我们选取了沪深300指数为研究对象，运用EGARCH（1，1）—M模型对股市（以沪深300指数为代表）的期望收益率进行了拟合，并且将EGARCH模型和极值理论相结合，计算出沪深300指数的风险价值VaR，从而度量我国股市的风险。 本文的结论主要有：第一、我国股票市场的风险和收益之间并不存在显著的正相关关系。第二、我国股票市场尚未达到弱式有效。第三、我国股票市场的极大风险主要来源于政策的频繁变动，监管机构的严格监管促使了股市风险下降。 此外，本文对如何降低我国股市VaR提出了几点政策建议：第一、应解决信息不对称问题。第二、加强监管，保证股票市场公平、有效和透明，提高股票市场的有效性。第三、改善股票市场投资环境。第四、进一步加强股票市场的法制建设。第五、进行制度创新。 关键词：EGARCH模型，极值理论，VaR，沪深300指数 The Analysis-based on EGARCH Model on VaR of Chinese Stock Market Abstrasct: Since our stock market was founded, it has made notable contributions to the development of economy. However, the development of the stock market is late and immature. As a result, some problems are HYPERLINK /especially/ \t _blank especially prominent in present stock market, such as strong speculation, instability, immaturity, the frequent changes of policies and inefficiency. All these show us that the risk of Chinese stock market is far from optimistic. Therefore, it’s necessary to measure the risk. We select HS300 Index to be a research object, utilize EGARCH(1,1)-M model to imitate expectative return of HS300 Index on behalf of Chinese stock market, and link EGARCH model with Extreme Value Theory to calculate VaR of HS300 Index and measure the risk of Chinese stock market. The main conclusions are as follows: Firstly, there is no striking positive correlation between risk and return in our countrys stock market. Secondly, our countrys stock market still is only a rising market, thus cannot achieve weak-effective level. Thirdly, through the analysis on estimated-VaR sequences, we can draw the conclusion that high-risk at our countrys stock market stems fro