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:

对外贸易学会

硕士程度论文

沪深300指数波动率及大量对其冲撞的表露剖析

姓名:白恒飞

敷程度技巧水平:硕士

专业:掌握财政

授课者:刘林

20080501

摘要

跟随股份制改造的顺利进行,晚近,我国股票买卖取等等非常迅速的开展。,但股市的走势健康状况如何

波动漫游和风险明确的的大于慎重拟定本钱。。波动性是股市中最要紧的代理人

内部的每一指向,波动性是程度股票买卖风险的要紧器经过。,被探测院和产业界普遍地接纳

泛珍视。眼前,国际照片商对中国1971股市波动性的探测,次要是运用 ARCH 族做模特儿

上海、深圳股票交易所指数,反应中国1971股市全面波动特点。沪深 300 贮藏是

中国1971股市自使成为以后的第每一一致指数,它可以反应上海和深圳需求的总体大意

“气压计”。相应地本文次要探测上海和深圳 300 指数与大量对的波动性特点

的冲撞,为了深化 300 指数的波动性特点反应了指数的总体特点。

在本文章,咱们采取以下方式 GARCH 念书上海和申哲的本地的形成图案 300 指数波动,更进一步探测了微扰

条依顺两样散布推测对做模特儿的冲撞,决赛引见了大块,废除数据arriva

产量变量,测得坐果容积可能的选择解说挥发物。坐果弄清,沪深 300 贮藏具有

峰厚台特点、波动是继续的、目前的附加费风险,它有反杠杆效应的失常的

对称;考虑两样的散布推测, 碰见 EGARCH-M(1,1)上海、深圳车型 300

指数适合的产生最好,大量为上海和深圳。 300 指数数据抵达的替产量变量是有较弱

的解说力。

关键词:上海、申哲 300,波动性,GARCH-M 做模特儿,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 照片商们。 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 需求。 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 总体就。 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
论文怪人性报告

我慎重发表宣言我早已送交了论文,我在任课的正好下,
自由权探测成果。以及特克斯中早已标志的参考文献
外,本论文除究竟哪一个倚靠由团体照片或使安定的工程。
果。对资源做出要紧贡献的团体和个人,均已
在文本中明确的打手势。我完整明确的,本发表宣言的法律责任在是故
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