摘要
在介绍GARCH模型相关理论的基础上,以深证综合指数收盘价为研究对象,运用Eviews6.0软件对深证综合指数收益率的波动情况进行了实证分析.结果表明,深证综合指数收益率具有明显的ARCH效应和平稳性特征,且有显著的"尖峰厚尾"现象,存在波动的集群性.同时,通过比较发现GARCH(1,1)模型最能模拟深证综合指数收益率的实际情况.此外,得出收益率具有明显的"杠杆效应",且验证了深证综合指数支持风险溢出理论.最后,在GARCH模型的基础上计算了VaR值.
Volatility of returns on Shenzhen composite index is analyzed empirically according to the theory of GARCH model and Eviews 6.0software.The results show that returns is stationary.It has obvious ARCH effect and also significant phenomenon of"peak and fat tail".At the same time,the GARCH(1,1)model can better simulate the actual situation of the Shenzhen composite index by comparing the results.In addition,it is concluded that the returns has obvious"leverage effect",and the Shenzhen composite index supports risk spillover theory.In the end,the VaR is calculated using the GARCH model.
出处
《辽宁师范大学学报(自然科学版)》
CAS
2015年第4期446-451,共6页
Journal of Liaoning Normal University:Natural Science Edition
关键词
GARCH模型
条件异方差
杠杆效应
风险溢出
在险价值
GARCH model
conditional heteroskedasticity
leverage effect
risk spillover
Value at Risk