文档介绍：河北大学
硕士学位论文
基于ARCH类模型的A股指数波动性分析
姓名:张犇
申请学位级别:硕士
专业:金融学
指导教师:张玉梅
2011-06
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ₑᡅՈ͛54
ƨÑɴÏₕᙑˊʐɴÏඣᩥˊ&ūȰ Ñ̾ 300 ūϔʐɃǻūϔ&ۘऺ
ȌּȌՈ5ͩ ^ºϘĿrⒸᲬòZȭūϔΚ֎ɋ
Ȍʐǒ᪅
ʃՈ ₋Ϭඣᩥ
ՈͶ¬ɳĽǍẟᜐ
Ȍʐ¾ȕɨṇ nj
ϦY⓺ɉȭūϔΚ֎ɋՈͶ¬ɳĽǍ
ẟᜐ൹ȕɨṇ ͔☦ிඣŌ
Ȍruę A ཥNŖȖƨՈͶ¬ĽǍ4তŊ̴·එȖƨՈ
Ȍ żȒ
Ͷ¬ˊʐۘऺ5ͩ ϢȒỞẋȳẴɳඣᩥϔǒȭūϔΚ֎ɋẟᜐ!ǹ
ņএ©ª«¬ ିµƧȭūϔΚ֎ɋẟᜐǒ᪅ۘऺÂǣϦ4
ऺᜬ̾ 300 ūϔʐɃǻūϔ῁ͣƅₕᙑϔǒՈPჰĽǍ dzÑẟᜐȳẴۘ
ɳඣᩥ
ȌūϔΚ֎ɋK῁ͣƅ ARCH άà dzÑņএ ARCH ିµƧȭū
Ȍƛͱ῁ĿɴϦrɊ
ϔΚ֎ɋՈͶ¬ɳĽǍẟᜐǒ᪅ۘऺ4ūϔΚ֎ɋՈͶ¬ń
̤ƞɲɳʐǜǂάà ÂÃͶ¬ͣƅť1ɳ4Ởẋ൹ȕɨṇȒdzÑǕɴ ūϔΚ֎
ɋͶ¬ՈɊ̤ƞɲɳńỔ¼λŽ Κ֎ɋՈ
O Ổ¼ᱏẕzǷɍ
O ᪸uę A ཥN
Ŗń])tc ùᰈ້Ոùᰈᜐ&Kۤˊɳ4
͟⏲᪑:ཥūΚ֎ɋ ཥNͶ¬ɳ ARCH ିµƧ ǜǂάà
I
Abstract
Abstract
Volatility is one of the most essential features of the stock market. And volatility of the
stock price has important significance to the existence and development of stock market. The
well -balanced volatility of the stock price is not only the necessary condition that the stock
market can assign capital efficiently, but also the fundamental that inves tors can ensure their
investment e. And the well -balanced volatility of the stock price can play a positive role
in the process of maturation and normalization of the stock market. Chinese stock market is
in the fast develop period, it shows up the t rend of maturing and disadvantages of the new
market as well. So mastering the volatility well has great positive significance to us to make
Chinese stock market developing healthily and stably.
Taking theories of modern finance and modern statistic as the instruction, making
Shanghai -Shenzhen 300 index and SSE POSITE as the study objects, using both
statitical methods and practical methods, this paper campare the two indexes’ features
synthetically. At first, this paper introduces the basical volati lity theories and the studyin