中國股票市場收益率分布與風(fēng)險測度研究.pdf

1、湖南大學(xué)碩士學(xué)位論文中國股票市場收益率分布與風(fēng)險測度研究姓名：廖常青申請學(xué)位級別：碩士專業(yè)：數(shù)量經(jīng)濟學(xué)指導(dǎo)教師：蔡曉春20071112，，，，，，星里些至查絲堅薹蘭竺至：壘墼型蘭至壘，，!，。。AbstractAlongwiththedevelopmentofChinesestockmarket，theresearchaboutthedistributionofstockmarket’sreturnsratioandtheriskofs

2、tockmarkethasgraduallybecamethefocusofattentionDescribingthedistributionofstockmarket’Sreturnsratioandmeasuringtheriskofstockmarketaccuratelyistheindividualinvestor’SdreamGeneralymostpeoplebelievetllatthedistributionofst

3、ockmarket’sreturnsratiohavepeakandthicktailItisdifferentfromnormaldistributionWeCallmeasuretheriskofthestockmarketbyusingVARmethodInthispaperundertheresultsofotherpeople’sresearchwehavedonesomereseaches∞follows：1wehavede

4、scribedthecentraltendency、dispersetendency、symmetry、kurtosisofthedistributionofstockmarket’Sreturnsratio；2wehaveanalysedthelong—termmemoryofChina’Sstockmarket’sreturnsratioanditscontinuedvolatility3BaSingonthedifferentme

5、anmodel，weeoustruetdifferentGARCHmodel(I，1)tmodeltosimulatethefluctuationofvarianceThenwecalculatedaylyVARofshanghalandShenzhenstockmarkersfinalywetestitTheresultsshowesthestockmarket’Sreturnsratiefusedtoobeythenormaldis

6、tributionassumptionandmoreinclinedtoobeytdistributionThelongtermmemoryofchian’Sstockmarket’sreturnsratioisnotstrongbutitsabsolutevaluehasobviouslongtermmemoryanditsvolatilityisalsocontinued，Basedonthedifferentmeanmodel，u

7、singtheGARCHmodel(1，1)一ttoestimateVaRhaSthepossibilityofunderestimatestheriskofthestockmarketButthesemodelsissuitablewhentherequirementofcustodingriskcapitalisstrict(eg：Theconfidencelevelis99％、KeyWords：stockmarket；distri