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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文档绍介:

对外贸易大学人员

硕士音阶论文

沪深300指数波动率及量对其感动的游行示威辨析

姓名:白恒飞

专心致志音阶安排:硕士

专业:将存入银行

讲解员:刘林

20080501

摘要

跟随股份制改造的顺利进行,晚近,我国股票行情取慢着突飞猛进的开展。,但股市的走势什么

波动漫游和风险平淡无奇的大于老练的资金。。波动性是股市中最要紧的要素

经过独身特色,波动性是测度股票行情风险的要紧器经过。,被学术环境和产业界在海外无怨接受

泛珍视。眼前,海内大学生对中国1971股市波动性的追究,首要是应用 ARCH 族训练

上海、深圳证券交易税指数,镜子中国1971股市全体波动特点。沪深 300 参考是

中国1971股市自找到以后的第独身一致指数,它可以镜子上海和深圳交易的总体时髦

“玻璃”。相应地本文首要追究上海和深圳 300 指数与量对的波动性特点

的感动,为了深化 300 指数的波动性特点镜子了指数的总体特点。

在本包装,人们采取以下方式 GARCH 知识上海和申哲的户时尚 300 指数波动,增进追究了微扰

定约雇用使推迟辨别散布呈现对训练的感动,最不可能的绍介了音量,推迟行动物arriva

形成变量,试验容积条件解说挥发物。比分传达,沪深 300 参考具有

峰厚台特点、波动是继续的、目前的附加费风险,它有反杠杆效应的弄错

对称美;认真说辨别的散布呈现, 发展 EGARCH-M(1,1)上海、深圳车型 300

指数使合身成功实现的事最好,量为上海和深圳。 300 指数物抵达的替形成变量是有较弱

的解说力。

关键词:上海、申哲 300,波动性,GARCH-M 训练,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 大学生们。 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 交易。 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 总体说起。 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 薄弱虚弱。

关键词:上海 and Shenzhen 300 Index,Volatility, GARCH
Model,Vo l u 我。
II
论文独创的性申报

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外,本论文以前的男朋友或女朋友无论哪个倚靠由个体压印或写的所有的事物。
果。对资源做出要紧贡献的个体和个人,均已
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人类事业心。
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