恒生指数的GARCH效应分析

An Analysis of GARCH Effect of Heng Sheng Index

股票价格的波动是影响整个金融市场最重要、最直接的因素,对于以股票价格变化的研究来衡量风险价值具有很重要的现实意义。本文主要借助于恒生指数每日的收盘价进行GARCH效应分析并进行建模,通过设定残差分布的不同形式考察残差分布对建模的影响。最后,将GARCH模型拟合出来的方差的值带入风险价值量模型中,从而得到精确度更高的VAR值。

The fluctuation of stock price is the most important and direct factor that influences the whole finance market.It is of important realistic significane to measure risk value with the study of stock price fluctuation.With the daily closing price of HIS,this papey analyzes GARCH effect and tris modeling.Through setting up different styles of residual distribution,this paper explores the effect of residual distribution on modelling.In the end,the variance outputted from GARCH model is brought into the risk value model so as to obtain more accurate VAR value.