本文選題：多元GARCH + 利率與股價(jià)指數(shù)收益率波動(dòng)��； 參考：《東北大學(xué)》2012年碩士論文

【摘要】：隨著我國資本市場改革的深化和發(fā)展,股票市場在整個(gè)宏觀經(jīng)濟(jì)中的作用日益突顯。但是20世紀(jì)90年代以來,新興市場國家爆發(fā)了一系列以股票市場相繼崩潰為主要特征的金融危機(jī),股票市場風(fēng)險(xiǎn)防范問題也尤為重要,各國貨幣當(dāng)局對金融市場的宏觀調(diào)控作用一直備受人們關(guān)注,如何控制與防范金融風(fēng)險(xiǎn),也是擺在政府面前的一道難題。因此,作為貨幣政策重要的傳導(dǎo)工具--利率,無疑在貨幣市場和股票市場的互動(dòng)過程中起著不可替代的作用,研究二者相關(guān)性,可以為相關(guān)政策的制定提供參考信息,政策制定者可以利用利率與股票價(jià)格波動(dòng)之間的相關(guān)性等信息統(tǒng)一調(diào)控金融市場,對于防范金融風(fēng)險(xiǎn)以及金融市場改革等方面的政策制定,具有重要的參考意義。 GARCH模型由于明確的經(jīng)濟(jì)涵義及對市場波動(dòng)的準(zhǔn)確刻畫,得到了廣泛應(yīng)用,并證實(shí)了其有效性。同時(shí),隨著學(xué)者們的不斷改進(jìn),衍生出許多新的GARCH類模型,利用時(shí)間序列工具對時(shí)變條件方差序列進(jìn)行刻畫。最近,又出現(xiàn)了研究多變量、多市場的多元GARCH模型,不僅涵蓋了單變量的波動(dòng)特性,又可刻畫不同變量波動(dòng)間的相關(guān)關(guān)系。但目前國內(nèi)學(xué)者在研究股價(jià)和利率之間線性關(guān)系方面的論文較多,對二者之間波動(dòng)關(guān)系的研究論文還比較少見�，F(xiàn)實(shí)中,往往由于股市和利率對一些宏觀政策等影響因素反應(yīng)的異同,以及各自市場參與者投資行為的差異性等因素,使得二者之間關(guān)系更多地表現(xiàn)為非線性關(guān)聯(lián)。因此,這就為采用多元GARCH方法研究中國的利率和股票市場波動(dòng)相關(guān)性提供了新思路。 為了檢驗(yàn)中國的利率和股價(jià)指數(shù)收益率波動(dòng)相關(guān)性,本論文在分析GARCH理論基礎(chǔ)上,選取從2008年1月1日到2012年1月1日的近四年來的上海證券交易所綜合股價(jià)指數(shù)收盤價(jià)日數(shù)據(jù),應(yīng)用一元GARCH族和多元GARCH模型,借助Eviews6.0和Matlab2010a軟件進(jìn)行了實(shí)證檢驗(yàn)。根據(jù)研究重點(diǎn)的不同,論文將研究分為短期研究和長期研究：短期研究中,采用事件研究法,應(yīng)用一元GARCH-M模型對收益率進(jìn)行預(yù)測并計(jì)算超額收益率,通過對超額收益的顯著性檢驗(yàn),考察了2008年1月至2012年1月期間的利率調(diào)整事件對上證指數(shù)收益率的短期影響,得到歷次存貸款基準(zhǔn)利率調(diào)整前后,上證綜合股價(jià)指數(shù)波動(dòng)并不顯著的結(jié)論；在長期研究中,首先運(yùn)用協(xié)整方法檢驗(yàn)了利率與股價(jià)指數(shù)收益率之間的長期均衡關(guān)系,然后運(yùn)用JB統(tǒng)計(jì)量和Q統(tǒng)計(jì)量對利率和股價(jià)指數(shù)收益率數(shù)據(jù)進(jìn)行基本統(tǒng)計(jì)分析,檢驗(yàn)殘差序列的ARCH效應(yīng)和條件方差的不對稱性,并在此基礎(chǔ)上運(yùn)用二元EGARCH模型對利率與股票市場波動(dòng)的相關(guān)性進(jìn)行了實(shí)證分析,得出利率與股價(jià)指數(shù)之間存在雙向波動(dòng)溢出效應(yīng)的結(jié)論。最后,根據(jù)中國的利率和股票市場波動(dòng)相關(guān)性的實(shí)證檢驗(yàn)結(jié)果,提出了相關(guān)政策建議。 論文分六章展開：第一章,引言；第二章,GARCH族、利率與股價(jià)指數(shù)、波動(dòng)及相關(guān)性備用知識(shí)；第三章,中國利率與股價(jià)指數(shù)波動(dòng)相關(guān)性GARCH模型的建立；第四章,利率與股價(jià)指數(shù)波動(dòng)長、短期相關(guān)性的實(shí)證檢驗(yàn)；第五章,實(shí)證檢驗(yàn)結(jié)果分析和政策建議；第六章,總結(jié)與展望。
[Abstract]:With the deepening and development of China's capital market reform, the role of the stock market in the whole macro-economy is becoming more and more obvious. But since 1990s, the emerging market countries have erupted a series of financial crises which are mainly characterized by the collapse of the stock market. The risk prevention of stock market is also particularly important. The macro-control role of the financial market has always been paid attention to. How to control and prevent financial risks is a difficult problem in front of the government. Therefore, as an important transmission tool of monetary policy, interest rate will undoubtedly play an irreplaceable role in the process of interaction between the money market and the stock market. It is possible to study the relevance of the two parties. In order to provide reference information for the formulation of relevant policies, policy makers can regulate the financial market by using the information between interest rate and the fluctuation of stock prices. It is of great reference significance to the policy formulation of financial risk prevention and financial market reform.
GARCH model has been widely used because of its clear economic meaning and accurate portrayal of market volatility. It has proved its effectiveness. At the same time, with the continuous improvement of the scholars, many new GARCH models are derived, and time series tools are used to characterize the time-varying conditional variance sequences. The multivariate GARCH model of the field not only covers the fluctuation characteristics of the single variable, but also portrays the correlation between the fluctuation of different variables. However, there are many papers on the study of the linear relationship between stock price and interest rate at present, and the research papers on the fluctuation relationship between the two are relatively rare. Some factors such as macro policy and other impact factors, as well as the differences in the investment behavior of the market participants, make the relationship between the two more nonlinear. Therefore, this provides a new idea for the study of China's interest rate and the volatility of the stock market by using the multiple GARCH method.
In order to test the correlation between China's interest rate and the volatility of stock index returns, this paper, based on the analysis of GARCH theory, selects the daily data of the closing price of the Shanghai stock exchange's comprehensive stock index from January 1, 2008 to January 1, 2012, using the GARCH and multiple GARCH models with the help of Eviews6.0 and Matlab2010a. According to the different research focus, the paper divides the research into short-term and long-term research. In the short term, the event study method is used to predict the rate of return by using the one yuan GARCH-M model and to calculate the excess return rate. The period from January 2008 to January 2012 is examined through the significant test of excess returns. The short-term effect of interest rate adjustment on the rate of return of Shanghai stock index has been concluded. In the long-term study, the long-term equilibrium relationship between interest rate and the rate of return on stock index is tested by cointegration method in the long term study, and then the JB statistics and the Q system are used. The basic statistical analysis of interest rate and stock index yield data is carried out to test the asymmetry of ARCH effect and conditional variance in the residual sequence. On this basis, the correlation between interest rate and stock market volatility is empirically analyzed by using two yuan EGARCH model, and it is concluded that there is a two-way volatility spillover effect between the profit rate and the stock index. Finally, according to the empirical test results of China's interest rate and stock market volatility, relevant policy recommendations are put forward.
The thesis is divided into six chapters: Chapter one, introduction; the second chapter, GARCH family, interest rate and stock index, volatility and correlation spare knowledge; the third chapter, the establishment of GARCH model of China interest rate and stock index volatility; the fourth chapter, the empirical test of the volatility of interest rate and stock index, and the short-term correlation; the fifth chapter, the empirical test result is divided into two chapters. Analysis and policy recommendations; the sixth chapter, summary and prospect.

【學(xué)位授予單位】：東北大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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