成都理工大学本科毕业论文（设计）PAGE\*MERGEFORMAT28本科毕业设计论文基于GARCH模型的沪深300指数收益率波动性分析摘要股票价格的波动性在理论界和实务界都是一个热点问题。本文借鉴发达市场的研究文献，运用GARCH模型作为工具,检验了沪深300指数日收益率的波动性的变化。研究结果表明：沪深300指数日收益率波动从时间上呈现出明显的可变性和集簇性,序列分布呈现尖峰厚尾等特点,并且存在明显的GARCH效应，表明过去的波动对未来的影响是逐渐衰减的；模型还存在明显的GARCH-M效应，说明收益有正的风险溢价；通过建立TARCH模型和EARCH模型，发现沪深300指数收益率存在明显的杠杆效应，这反映出在我国股指期货市场上坏消息引起的波动要大于好消息引起的波动。关键词：股指波动性ARCH模型GARCH模型CSI300IndexVolatilityBasedonGARCHModelAnalysisAbstract:Stockpricefluctuationsisahotspotinboththeoreticalcirclesandcommunityofpractice.Basingontheliteraturesearchofdevelopedmarkets,thisarticletriestouseGARCHmodelastools,totestthedailyreturnvolatilitychangesofCSI300index.AndtheresultsindicatethatCSI300indexdailyreturnvolatilityshowvariabilityfromthetimeandaclearsetofclustersofthesequenceshowedafattaildistributioncharacteristics,andthereexistssignificantGARCHeffect,whichindicatesthatthevolatilityofthepastinfluencethefuturegraduallydecay.What’smore,therealsoexistsobviousGARCH-Meffect,whichshowsthattheriskpremiumincomedoesexist.ThroughtheestablishmentofthemodelEARCHandTARCH,wefoundCSI300indexsignificantleverageeffectexists,whichreflectsthevolatilityofthestockindexfuturesmarketinChinacausedbybadnewseasierthangoodnews.朗读显示对应的拉丁字符的拼音字典Keywords:Stockindexfuturesvolatility;ARCHmodel;GARCHmodel目录TOC\o"1-3"\h\z\uHYPERLINK\l"_Toc295208884"第1章前言PAGEREF_Toc295208884\h3HYPERLINK\l"_Toc295208885"1.1选题的背景和研究意义PAGEREF_Toc295208885\h3HYPERLINK\l"_Toc295208886"1.2研究对象PAGEREF_Toc295208886\h3HYPERLINK\l"_Toc295208887"1.3本文框架结构PAGEREF_Toc295208887\h3HYPERLINK\l"_Toc295208888"第2章相关理论文献综述PAGEREF_Toc295208888\h3HYPERLINK\l"_Toc295208889"2.1国外研究成果PAGEREF_Toc295208889\h3HYPERLINK\l"_Toc295208890"2.2国内研究成果PAGEREF_Toc295208890\h3HYPERLINK\l"_Toc295208891"第3章研究思路与实证分析PAGEREF_Toc295208891\h3HYPERLINK\l"_Toc295208892"3．1研究思路和方法PAGEREF_Toc295208892\h3HYPERLINK\l"_Toc295208893"3.1.1ARCH模型PAGEREF_Toc295208893\h3HYPERLI