基于GARCH族模型的比亚迪股票价格波动性研究

Research on the Volatility of BYD Stocks Price Based on GARCH Family Model

波动性是股票市场赖以存在和持续发展的重要理论基础,股价的存在和波动是证券投资者能够获取稳定投资回报和收益的重要前提,对于证券市场的持续发展有着积极的影响。本文选取比亚迪股票日收盘价数据作为研究对象,运用Eviews软件建立了基于GARCH族模型的比亚迪股票价格波动性分析模型。结果表明,EGARCH模型对数据的拟合性能最强,同时残差序列符合t分布。这说明比亚迪股票价格存在波动的集群性,同时也佐证了比亚迪股票价格支撑风险溢出理论。

Volatility is an important theoretical basis for the existence and sustainable development of the stock market.The existence and fluctuation of stock prices have a positive impact on the sustainable development of the securities market,and they are important prerequisites for securities investors to obtain stable investment profits and returns.This article selects BYD stock daily closing price data as the research object,and uses Eviews software to build a BYD stock closing price volatility analysis model based on the GARCH family model.The results show that the EGARCH model can fit the data most accurately,and the error follows the t distribution.The result indicates that there are clusters of fluctuations in BYD stock prices.The result also suggests that BYD stock prices follow the risk spillover theory.