论文部分内容阅读
本文中,我将利用GARCH模型结合Va R方法评估中国股票市场风险,发现中国主板和创业板收益率有较为明显的ARCH效应,具有平稳性,非正态性和尖峰厚尾等特点。但是本文中并没有得出主板市场企业的市场风险明显小于创业板企业的特点。本文的实证部分由三个部分组成:首先,分别对主板市场指数上证180和创业板指数创业综进行数据描述、平稳性检验、正态性检验。其次,利用协整性检验和因果检验来分析二者的动态联动性。最后,利用GARCH-Va R模型来比较二者的市场风险大小。
In this article, I will use the GARCH model and the VaR method to assess the risk of the Chinese stock market and find that there is a more obvious ARCH effect on the main board and the GEM, which is characterized by smoothness, non-normality and peak-thick tail. However, this article did not draw the conclusion that the market risk of the main board market enterprises is obviously smaller than that of the GEM companies. The empirical part of this article consists of three parts: First, the main board market index on the SSE 180 and the GEM index data synthesis, smoothness test, normality test. Secondly, using the cointegration test and causal test to analyze the dynamic linkage between the two. Finally, we use the GARCH-Va R model to compare the market risk between the two.