本文關(guān)鍵詞：基于CAPM-GARCH-M模型對β系數(shù)的估計研究　出處：《南京大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： CAPM模型 β系數(shù) GARCH模型 CAPM-GARCH-M模型

【摘要】：β系數(shù)是在進行投資組合管理、風(fēng)險控制、收益預(yù)測時用來評價、估計單個股票或股票投資組合風(fēng)險的重要指標之一,來源于資本資產(chǎn)定價模型(CAPM),是證券系統(tǒng)性風(fēng)險的度量指標。它反映了資產(chǎn)價格的變動受市場上資產(chǎn)價格平均變動的影響程度,在投資理論與投資實踐中都有非常重要的地位。本文以國內(nèi)個人投資者投資熱情上漲、資金大量盈余為背景,提供理性投資建議為目的,分析了β系數(shù)靜態(tài)估計方法和動態(tài)估計方法。首先基于CAPM單指數(shù)模型對隨機選取的19個板塊β系數(shù)進行靜態(tài)估計,經(jīng)過Chow穩(wěn)定性檢驗,發(fā)現(xiàn)靜態(tài)β系數(shù)具有不穩(wěn)定性,于是選擇A股收益率序列為代表建立了GARCH、 GARCH-M、EGARCH動態(tài)時間序列模型,經(jīng)對比分析GARCH-M對A股收益率序列擬合效果最好；最終建立了動態(tài)CAPM-GARCH-M模型,用CAPM-GARCH-M模型再次估計19個行業(yè)的β系數(shù)將得出結(jié)果與靜態(tài)分析結(jié)果對比；得出了對板塊選擇的研究沒有意義、β系數(shù)具有不穩(wěn)定性、且板塊的波動同A股市場同起同落等結(jié)論。
[Abstract]:Beta in portfolio management, risk control, evaluation for revenue forecasts, estimates of an important indicator of individual stocks or stock portfolio risk, from the capital asset pricing model (CAPM), is a measure of the stock systematic risk. It reflects the impact of asset price changes by the price of assets on the market the average change, has a very important role in the investment theories and practice. The rise in domestic individual investors investment enthusiasm, a large amount of capital surplus as the background, to provide rational investment advice for the purpose of beta coefficient estimation method of static and dynamic CAPM. Based on the single index model of static estimation of the random selection 19 blocks of the beta coefficient, after Chow stability test, it was found that the static coefficient is unstable, so the choice of A stock return series is established as the representative of GARCH, GARCH-M, EGARCH dynamic time series model, through the comparative analysis of GARCH-M A stock return series the best fitting effect; finally established a dynamic CAPM-GARCH-M model, CAPM-GARCH-M model is used to estimate the coefficient again in 19 industries will obtain the results are compared with the results of static analysis; was no significance to the study of plate selection, beta coefficient is not the stability and undulation with A stock market rises and falls in the conclusion.

【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F832.48;F832.5

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本文編號：1373868