基于GARCH模型的A股市场波动研究与危机预警——以中国石化为例

Research on the Volatility of A Stock Market and Crisis Early Warning Based on GARCH Model:Take the Sinopec as an Example

本文以中国石化公司2012年1月至2017年10月30日的股票交易数据为研究对象,采用GARCH模型对中国石化股价的波动特性进行了研究,并结合Var值对其风险进行了预警。

This paper takes stock trading data of Sinopec company from January 2012 to October 30,2017 as the research object,and uses the GARCH model to study the volatility characteristics of Sinopec stock price,and combines Var value to predict the risk of Sinopec.