沪深300指数波动率及成交量对其影响的实证分析.pdf

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文档引见:

对外贸易大学校舍

硕士音阶论文

沪深300指数波动率及大量对其碰撞的实据剖析

姓名:白恒飞

推荐音阶坡度缓和:硕士

专业:银行业务

训诫者:刘林

20080501

摘要

跟随股份制变革的顺利进行,最近几年中,我国牲畜义卖市场取等等突飞猛进的开展。,但股市的走势以若干方式

波动排列和风险升半音大于陈化资金。。波动性是股市中最要紧的代理人

当选一任一某一表示特性的,波动性是用手掂估牲畜义卖市场风险的要紧器经过。,被学院和产业界广泛地接球

泛注重。眼前,国际有某种文科知识的人对奇纳股市波动性的默想,次要是运用 ARCH 族模特儿

上海、深圳证券交易税指数,使报到奇纳股市整个波动特点。沪深 300 键入是

奇纳股市自发觉以后的第一任一某一一致指数,它可以使报到上海和深圳义卖市场的总体方面

“帐单”。从此本文次要默想上海和深圳 300 指数与大量对的波动性特点

的碰撞,为了深化 300 指数的波动性特点使报到了指数的总体特点。

在本贴壁纸,笔者采取以下办法 GARCH 默想上海和申哲的家庭的榜样 300 指数波动,深一层的默想了微扰

文章听从确切的散布授予对模特儿的碰撞,决赛引见了成团卷起,继任人arriva

创作变量,量度容积其中的哪一个解说挥发物。发生传达,沪深 300 键入具有

峰厚台特点、波动是继续的、目前的优质的风险,它有反杠杆效应的不公正的

对称;为了确切的的散布授予, 发觉 EGARCH-M(1,1)上海、深圳车型 300

指数装修发生最好,大量为上海和深圳。 300 指数人抵达的替创作变量是有较弱

的解说力。

关键词:上海、申哲 300,波动性,GARCH-M 模特儿,大量
I
Abstract
With the finish of reform of non-tradable shares, Chinese Stock
Market has developed fast and made great progress during the last few
年。 However, Chinese Stock Market is still young, margin of
fluctuation and risk are bigger than the overseas mature capital markets
显然。 Volatility, as one of the most important tools to measure the
stock market’s risk, has been thought deeply by the 有某种文科知识的人们。 Nowadays,
domestic scholars mainly focus on the study of the features of Shanghai
and Shenzhen stock markets respectively by using the ARCH model, and
then get fluctuation characteristic of Chinese Stock 义卖市场。 Since the
Shanghai and Shenzhen 300 index is first one to unify Shanghai and
Shenzhen stock markets, it can reflect the trends of Shanghai and
Shenzhen two markets 总体关于。 Therefore this article mainly studies the
Shanghai and Shenzhen 300 index’s volatility characteristics and whether
the volume can be a substitution variable of information flow to explain
the 波动。
This article mainly focuses on following several aspects: Using
GARCH model to study the Shanghai and Shenzhen 300 index; Find
what the kind of distributions of residual can fit the data best, and get the
best estimation effect of GARCH model; Furthermore, we consider
whether the volume can be used as a substitution variable of information
flow to explain the 波动。 And the main results are the following:
excess kurtosis and heteroskedasticity of the series data, asymmetric
effect of the series data volatility and the endurance effect of the series
data volatility; The EGARCH-M(1,1)-GED model is proven to be the
best model to fit the series data; The Volume can be a substitution
variable of information flow to explain the volatility, but it’s very 懦弱。

关键词:上海 and Shenzhen 300 Index,Volatility, GARCH
Model,Vo l u 我。
II
论文原型性提到

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