【作者】 王晓婷；

【导师】 刘德红；

【作者基本信息】 北京交通大学 ， 金融学， 2012， 硕士

【副题名】基于极差的自回归波动率模型

【摘要】 波动性是股票市场最基本的特性。如果价格恒定不变,则将不会有买卖价差,最终会没有交易。但是,由于股票市场的稳定性和有效性决定了投资者效用最大化的实现,过高的波动性势必将对股票市场的健康运行产生不利影响。但是大量的国内波动性研究中,我们发现运用收益率来衡量波动性的研究数不胜数,但却缺少了运用极差衡量证券市场波动性的研究,且现有的模型拟合市场波动性预测的准确性也不尽人意,并有待提高,尤其是国内极少使用AV模型来衡量市场波动性。国外的一些研究表明了,运用AV模型来描述波动性较已有的一些模型更为准确,目前国内有关这方面的研究较少。本文采用GARCH模型和基于极差的自回归波动率模型衡量市场波动性预测的准确性,并探究我国证券市场非对称性波动的情况。首先通过收益率和极差两个数据进行统计分析,分析我国上证市场的波动特征和现状。其次,分别运用GARCH模型和AV模型对收益率和极差两组数据进行建模拟合,分析中国上证市场波动性预测,得到适合中国上证市场波动性预测的指标和模型。最后,分别EGARCH模型和AV-α模型对收益率和极差两组数据进行建模拟合,分析中国上证市场的非对称性,验证中国上证市场是否存在非对称性。同时得出适合分析中国上证市场非对称性的波动率指标和模型。并得到以下结论：上证市场股票价格存在着明显的尖峰厚尾性,且是有偏的；极差对于衡量中国证券市场的波动性较传统的收益率指标更为准确；GARCH模型并没有AV类模型对于中国证券市场波动性预测的准确,这也同时验证了AV模型在中国证券市场的运用。并且,两个模型都验证了中国证券市场存在着较弱的波动预测性,即中国证券市场并非有效的,是弱势有效的。中国证券市场存在着不对称性,同时得到了负面消息(利空消息)比正面消息(利好消息)对中国证券市场冲击要大。更多还原

【Abstract】 Stock market volatility is the most basic characteristics. If the price is constant, there would be Bid-ask spread, and eventually there would be no deal. However as the stock market stability and the validity decide to achieve maximizing the utility to investors, high volatility will set an adverse effect on the health of the operation the stock market. In a large number of domestic volatility studies, we found that numerous studies used the rate of return to measure volatility, but without using the range to measure volatility of the stock market. At the same time, the market volatility forecasting accuracy of existing models is unsatisfactory, and they needs to be improved, especially domestic studies rarely use AV model to measure the market volatility. Some study overseas showed that the AV model to describe the volatility in the use of the existing models is more accurate, and the domestic researches on these aspects are seldom.This paper uses GARCH model and AV model based on the range to measure the prediction of market volatility, and explores the asymmetry in our stock market volatility. Firstly through the statistic analysis of the yields and range, this paper analyzes the characteristics and the status quo of the volatility of the market. Secondly, using GARCH model and AV model respectively based on the return and the range, this paper builds simulation and analysis of China’s Shanghai market volatility forecast and gets the volatility index and the prediction model which is suitable for China’s Shanghai market. Finally, using EGARCH model and AV-α model respectively based on the return and the range, this paper builds simulation and analysis of China’s Shanghai market asymmetric, validates China’s Shanghai market whether there is asymmetrical. And getting the following conclusions:this paper thinks that the Shanghai market share price has the obvious peak thick tail sex, and is biased; it was found that the range to measure the volatility of the Chinese securities market is more accurate than the traditional return index. Meanwhile, in the process of analysis this paper discovered in the volatility of the traditional forecasting GARCH model and no AV model for China securities market volatility of accurate prediction. Through the empirical results of the asymmetry, it also found the range is more accurate than the traditional index yields. And, in the two model, the empirical results found that China’s securities market exists asymmetry, and got negative news (bad news) make more impact to the China securities than positive messages (good news).更多还原