本文關(guān)鍵詞：基于GARCH模型的滬深300指數(shù)收益率波動(dòng)性分析，由筆耕文化傳播整理發(fā)布。

基于GARCH模型的滬深300指數(shù)收益率波動(dòng)性分析姓名： 專業(yè)班級(jí)： 指導(dǎo)老師： 摘 要股票價(jià)格的波動(dòng)性在理論界和實(shí)務(wù)界都是一個(gè)熱點(diǎn)問題。本文借鑒發(fā)達(dá)市場(chǎng)的研究文獻(xiàn)，運(yùn)用GARCH模型作為工具,檢驗(yàn)了滬深300指數(shù)日收益率的波動(dòng)性的變化。研究結(jié)果表明：滬深300指數(shù)日收益率波動(dòng)從時(shí)間上呈現(xiàn)出明顯的可變性和集簇性,序列分布呈現(xiàn)尖峰厚尾等特點(diǎn),并且存在明顯的GARCH效應(yīng)，表明過去的波動(dòng)對(duì)未來的影響是逐漸衰減的；模型還存在明顯的GARCH-M效應(yīng)，說明收益有正的風(fēng)險(xiǎn)溢價(jià)；通過建立TARCH模型和EARCH模型，發(fā)現(xiàn)滬深300指數(shù)收益率存在明顯的杠桿效應(yīng)，，這反映出在我國(guó)股指期貨市場(chǎng)上壞消息引起的波動(dòng)要大于好消息引起的波動(dòng)。關(guān)鍵詞：股指波動(dòng)性ARCH模型GARCH模型CSI 300 Index Volatility Based on GARCH Model AnalysisAbstract:Stock price fluctuations is a hot spot in both theoretical circles and community of practice. Basing on the literature search of developed markets, this article tries to use GARCH model as tools, to test the daily return volatility changes of CSI 300 index. And the results indicate that CSI 300 index daily return volatility show variability from the time and a clear set of clusters of the sequence showed a fat tail distribution characteristics, and there exists significant GARCH effect, which indicates that the volatility of the past influence the future gradually decay. What’s more, there also exists obvious GARCH-M effect, which shows that the risk premium income does exist. Through the establishment of the model EARCH and TARCH, we found CSI 300 index significant leverage effect exists,which reflects the volatility of the stock index futures market in China caused by bad news easier than good news. Key words: Stock index futures volatility; ARCH model; GARCH model目錄第1章前言11.1選題的背景和研究架結(jié)構(gòu)2第2章相關(guān)理

  本文關(guān)鍵詞：基于GARCH模型的滬深300指數(shù)收益率波動(dòng)性分析，由筆耕文化傳播整理發(fā)布。