發(fā)布時間：2018-03-03 07:22

  本文選題：GARCH模型　切入點(diǎn)：商業(yè)指數(shù)　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：本文首先介紹了國內(nèi)外股價預(yù)測理論的各種方法以及商業(yè)百貨股票的劃分和各項(xiàng)特征。著重分析了商業(yè)百貨企業(yè)經(jīng)營業(yè)績的影響因素。 在實(shí)證部分,選取了商業(yè)指數(shù)中的7只具有代表性的成分股作為樣本,通過描述性分析方法分析了商業(yè)類上市公司的股票波動性。根據(jù)基本統(tǒng)計(jì)量的分析得到商業(yè)百貨類股票的一般波動特征。各項(xiàng)數(shù)據(jù)表明商業(yè)百貨類的整體股票活躍程度和收益率高于大盤平均水平。商業(yè)百貨類股票的日收益率漲的天數(shù)與跌的天數(shù)基本是持平的。商業(yè)百貨類股票的整體趨勢比較平穩(wěn),很少有脫離股票大環(huán)境的暴漲暴跌。另外,商業(yè)類百貨股票的日收益率高于滬深指數(shù)的日收益率。 另外,對商業(yè)指數(shù)做了實(shí)證分析發(fā)現(xiàn)商業(yè)指數(shù)存在明顯的GARCH效應(yīng)。日收益率并不遵循正態(tài)分布的方式,而是存在尖峰后尾的現(xiàn)象,顯示了明顯的異方差性。用GARCH(1,1)擬合后,相關(guān)系數(shù)之和接近于1.這表明條件方差所受的沖擊很持久,所受的波動是持續(xù)的。商業(yè)指數(shù)股票的收益率存在明顯的GARCH-M的效應(yīng)。商業(yè)百貨類股票存在收益和風(fēng)險(xiǎn)存在這正相關(guān)的關(guān)系。用TARCH模型擬合后,發(fā)現(xiàn)其具有相應(yīng)的非對稱的效果。這表明商業(yè)百貨類股票對于好消息和壞消息的承受波動是有區(qū)別的。
[Abstract]:This paper first introduces the various methods of stock price prediction at home and abroad, and the division and characteristics of the commercial department stock.
In the empirical part, selects 7 representative stocks in the index of business as samples, through descriptive analysis method to analyze the volatility of stock commercial listed companies. According to the general wave characteristic analysis of the basic statistics of business department stocks. The data show that the overall stock of commercial department store level of activity and income rate higher than the market average. Commercial retail stocks rose days of daily return and down the number of days is basically flat. The overall trend of commercial retail stocks is relatively stable, there is little out of stock environment spike. In addition, the daily return business department stock daily return rate is higher than the Shanghai index.
In addition, the index of business to do the empirical analysis shows that there are obvious GARCH effect. The index of business daily returns do not follow normal distribution, but the existence of the phenomenon of tail spikes, showed obvious heteroscedasticity. Using GARCH (1,1) after fitting, and the correlation coefficient is close to 1. which indicates that the conditional variance the impact is very durable, the fluctuation is sustained. Effect of commercial rate of return of the stock index has obvious GARCH-M. Commercial retail stocks exist the positive relation between income and risk. Fitted with TARCH model, we find that it has the corresponding asymmetric effect. This shows that the commercial department store there is a difference between the bear stock fluctuation of good news and bad news.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F721;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前4條

1 江曉東,楊燦;股票收益率波動的實(shí)證研究[J];東南學(xué)術(shù);2002年02期

2 王若平;ARCH族計(jì)量模型的基本形式及應(yīng)用[J];科學(xué)·經(jīng)濟(jì)·社會;2002年04期

3 任彪,李雙成;中國股票市場波動非對稱性特征研究[J];數(shù)學(xué)的實(shí)踐與認(rèn)識;2004年09期

4 何興強(qiáng);上證指數(shù)收益和波動性的星期效應(yīng)檢驗(yàn)[J];中山大學(xué)學(xué)報(bào)(社會科學(xué)版);2003年06期

，

本文編號：1560069