基于GJR和门限GARCH模型的股票市场波动率的实证分析.pdf

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1、AbstractAbstractThisarticlehascarriedonthesimpleintroductionofthevolatilitymodel.Inviewofthefinancialleverageeffectinthemarket,theGJRmodelandthresholdGARCHmodelareintroduced.Inthisarticle,weusetheGJRmodelandthethresholdGARCHmodeltocarryontheempiricalanalysisofthedailyreturnrateoftheDow-JonesAveragea

2、ndthes&psincethe21stcentury.Wecanseethatthetwosequencesbothhaveastrongheteroscedasticityphenomenaandthefinancialleverageeffect.AndwecanseethattheGJRmodeldescribesthedailyreturnrateoftheDow-JonesAveragebetterthanthethresholdGARCHmodelwhilethethresholdGARCHmodeldescribesthedailyreturnrateofthes&pbette

3、rthantheGJRmodel.Keywords:heteroscedasticity;thevolatilitymodel;thedailyreturnrate;thefinancialleverageeffectI目录目录第1章引言.............................................................................................1第2章波动率模型简介..........................................................................22.

4、1ARCH模型.....................................................................................22.1.1ARCH模型介绍.........................................................................22.1.2ARCH模型建模.........................................................................22.2GARCH模型.......................

5、............................................................62.3其它波动率模型..............................................................................7第3章实证分析.....................................................................................93.1收益率序列的简单分析............................................

6、......................93.2均值方程的建立............................................................................113.3ARCH效应的检验........................................................................143.4波动率建模...................................................................................153.5结果分析...

7、....................................................................................18第4章总结...........................................................................................20参考文献............