中信銀行股市風險波動分析

1、中信銀行股市風險波動分析股票的價格時刻處于波動之中，因而以后的一個投資期的收益率rt是不確定的，其本質(zhì)上是一個隨機變量，具有一定的概率分布。在已知現(xiàn)在及往常信息的情形下，它服從一定的條件概率分布，其不確定性能夠用條件異方差來度量?？紤]若干投資期，設pt表示某種股票第t個投資期的收盤價，相應的對數(shù)收益率為rt=log(pt)-log(pt-1)。下面對中信銀行的收益序列建立GARCH模型，估量其方差序列并分析動態(tài)風險波動特點。樣本數(shù)據(jù)為2007年4月27日至2011年6月22日，共1000個交易日以1000個交易日的日收盤數(shù)據(jù)為差不多的分析數(shù)O原數(shù)軸附過t益寶圖3驗得出序列不是純隨機的，嘗試構(gòu)造

2、AR(2)模型對數(shù)收益率，對收益d時序圖和Q-Stat統(tǒng)計量檢AR(2)模型為-yT=-0.000664-0.06662TXt-1-0.025976Xt-2+，VL"工1。下面的有關估自有關圖中的據(jù)，數(shù)據(jù)來源于才能證/量結(jié)果由第票交易軟件L具體數(shù)據(jù)如附表單位褪鄲僉能夠利出其用列是平穩(wěn)的對數(shù)收益率時序圖一YADF檢驗結(jié)果按照對數(shù)t-StatisticProb.*AutocorrelationPartialCcrrelaiinnACPACQ-StatPrcbAugmentedDckey-FuleiteststatisticTestcriticalvalues:ii%levelq%leve

3、l10%1.level.對數(shù)收;。率自有關圖；-34.404011-0.060-0.080心436683；I-2.8642254-a.00000031-2.5682517-0.054-0.0658-0.010-0.0139-0.037-0.046100.0160.0050.00006,40i230,0117.65720.0208.807300318.837313.27216991757217.68219,07019.345O.OG40.0210.024o.ou0.0240.0250.036AutoccrrelalionPartialCorrelationACPACQ'StatPrab1

4、i110.0010.0010.000409G5111120.Q140.0140.19530907111130,0240D2J0,76690.957111140,0000.0000.76700.943口1115-O.OE7-0.069525280.306111160.01800185,591B04701117-00580.0573.99660.25311118-0.0i6-0.013925630.3211119-0.042-0041110120.2751111100.0130012111090.3431111110.Q15002011.427D4081111120.0320.02612.4730

5、.408113D,0420.04214.2880.354C1114-D,042-005215.065030911.1II150.Q33003317.1490.310殘差自有關性檢驗由殘差序列的自有關圖中Q-Stat統(tǒng)計量得，滯后15階的P值都大于0.05,同意原假設，講明殘差序列vt為純隨機序列。三、異方差自有關性檢驗對殘差序列利用LM統(tǒng)計量檢驗看是否存在異方差性，檢驗結(jié)果如表1從表中能夠看出延遲6階的檢驗結(jié)果表明殘差序列具有明顯的異方差性。假設異方差函數(shù)為ht,則有vt/(ht)0.5N(0,1)。表1Coefficit-StatistiProb.Variableent Std. Error

6、 cCRESIDA2(-1)RESIDA2(-2)RESIDA2(-3)RESIDA2(-4)RESIDA2(-5)RESIDA2(-6)RESIDA2(-7)RESIDA2(-8)RESIDA2(-9)RESIDA2(-10)0.0003796.93E-050.0688900.0319900.0397250.0320620.1021400.0320660.0939430.0322040.0631520.0322560.0731570.032218-0.031910.0321220.0389500.0319890.0035910.0319790.0323780.0315015.4650730.

7、00002.1534710.03151.2390000.01563.1853370.00152.9171210.00361.9578650.05052.2706470.0234-0.9934210.32081.2175980.22370.1123070.91061.0278500.3043四、ARCH模型階數(shù)估量由于LM統(tǒng)計量顯示出殘差序列具有異方差長期自有關性，即存在較高階ARCH效應，對該收益率殘差序列擬合GARCH(1,1)模型及其他一些高階GARCH模型，表2列出了殘差序列擬合的各階GARCH模型的AIC值表2GARCH模型定階GARCHp,q)AIC(1,1)-4.466219(1,

8、2)-4.464253(2,1)-4.464219(2,2)-4.459765從表2中能夠看出，殘差序列在AIC準則下的適合模型階數(shù)為GARCH(1,1)。五、參數(shù)估量對模型的參數(shù)進行極大似然估量，參數(shù)估量值如表3,可得殘差序列的GARCH(1,1)模型為yt=-0.000664-0.066621xt-1-0.025976xt-2+vtvt=(ht)0.5etht=0.0000848+0.957116ht-1+0.057375v2t-1參數(shù)明顯性檢驗顯示，除自回來模型中的參數(shù)外，其他參數(shù)均明顯。需要講明的是自回來模型中的參數(shù)不明顯對模型沒有阻礙，目的是為得到殘差序列。表3Prob.Coeffi

9、cientStd.Errorz-StatisticC-0.0006640.000783-0.8476280.3966Y(-1)-0.0666210.033472-1.9903690.0466Y(-2)-0.0259760.032228-0.8060050.0202VarianceEquationC8.48E-062.44E-063.4696460.0005RESID(-1)A2*(RESID(-1)<0)0.0573750.0094346.0818120.0000GARCH(-1)0.9571160.005969160.35820.0000Meandependent-0.00078R-s

10、quared0.7683var5S.D.dependentAdjustedR-squared0.2676var0.027358S.E.ofregression0.027322Akaikeinfo-4.46621criterionSumsquaredresid0.739763Loglikelihood2232.410Durbin-Watsonstat2.020614SchwarzcriterionF-statisticProb(F-statistic)9-4.4367021.5345110.176329AutocorrelalionPartialCorrellalionACPACProb的有效性

11、檢驗10.0070.0070.045709312U.W40岫Q,硒H961?30.D460.0462.16810.53S4D,0060.0062.20090.6995-0,040-0.0403,7849J.hUl60.029口磔4.64915卯7-0.051-00527270904018-0.019-0.0157644704699-1D4B-0,0509978203521000200.02410.3670.407110010.00410.3830496120.031003111.3360.500130043004913716D.39414-0026-0.03314,3914211500250.

12、02615.0250.450VariableCoefficientStd.Errort-StatisticProb.CSTD_RESIDA2(-1)STD_RESIDA2(-2)STD_RESIDA2(-3)STD_RESIDA2(-4)STD_RESIDA2(-5)STD_RESIDA2(-6)STD_RESIDA2(-7)STD_RESIDA2(-8)STD_RESIDA2(-9)STD_RESIDA2(-10)STD_RESIDA2(-11)STD_RESIDA2(-12)0.7467220.110049-0.0102300.032077-0.0025160.0320770.058518

13、0.0320730.0684050.0321250.0583850.0321790.1004710.032197-0.0447270.0321970.0362360.0321760.0041520.032121-0.0059710.032068-0.0067330.032069-0.0036350.0320496.7853260.0000-0.3189310.7498-0.0784370.93751.8244930.06842.1293430.13351.8143980.06993.1205200.0719-1.3891920.16511.1261850.26040.1292520.8972-

14、0.1862070.8523-0.2099470.8338-0.1134280.9097利用估量的條件異方差序列ht,得到新的殘差序列，由自有關圖中的Q-Stat統(tǒng)計量滯后15階的P值都大于0.05,拒絕原假設，表明新的殘差序列為純隨機序列。通過LM統(tǒng)計量檢驗的P值能夠看出，10階統(tǒng)計量的檢驗結(jié)果都表明新的殘差序列不存在異方差性，由此講明模型是有效的。七、結(jié)論通過建立的GARCH(1,1)模型的參數(shù)能夠看出中信銀行的對數(shù)收益率序列的經(jīng)歷性是比較強的，還有由因此正有關關系，講明中信銀行的股票是高風險高收益的，適合于風險偏好的投資者投資。由條件異方差估量圖能夠樽用，條件異萬差所處是隨看時刻波動日勺

15、，而且波切幅度比較大,信銀行收益率序列的新二EL大，講明H時期性04潮具有簇窠性，股票價格是隨仄險波動的500750F2E3ID|也確實建講風險是隨時刻林化的“具有明顯的時變性。從中最小值相差較風險具有一種，,而有牛段時亥那|險較小，股價的風險波動10CD附表1中信銀行(601899)2007/04/2711.1432007/04/3010.1132007/05/0810.2332007/05/0911.2332007/05/1011.2332007/05/1111.4932007/05/1411.3432007/05/1510.6732007/05/1610.7432007/05/1710.

16、7832007/05/1810.5832007/05/2110.4132007/05/2210.4032007/05/2310.5032007/05/2410.6332007/05/2510.4632007/05/2810.583收盤價數(shù)據(jù)2007/05/2910.6932007/05/309.8832007/05/3110.4332007/06/0110.2632007/06/049.2132007/06/059.5032007/06/069.4232007/06/079.5232007/06/0810.0032007/06/119.9532007/06/129.7932007/06/131

17、0.0732007/06/149.7732007/06/159.8232007/06/1810.0132007/06/199.8832007/06/209.5832007/06/219.7232007/06/229.4332007/06/259.2132007/06/269.2232007/06/279.5132007/06/289.1332007/06/298.9732007/07/028.9532007/07/039.0832007/07/048.8632007/07/058.2832007/07/068.6432007/07/098.7132007/07/108.8132007/07/1

18、18.8232007/07/128.9132007/07/138.8232007/07/168.8232007/07/179.1732007/07/189.2832007/07/199.1832007/07/209.5532007/07/239.7832007/07/249.7132007/07/2510.7032007/07/2610.7232007/07/2710.5732007/07/3010.5832007/07/3110.2632007/08/019.8132007/08/0210.0532007/08/0310.4632007/08/0610.3032007/08/0710.413

19、2007/08/0810.6632007/08/0910.5732007/08/1010.7132007/08/1311.1932007/08/1411.0232007/08/1511.1032007/08/1611.1532007/08/1710.6832007/08/2111.1932007/08/2211.1232007/08/2310.9732007/08/2411.3432007/08/2712.3432007/08/2812.2832007/08/2911.7332007/08/3011.9832007/08/3111.8832007/09/0311.8932007/09/0411

20、.8432007/09/0511.7732007/09/0612.0032007/09/0711.6132007/09/1011.9632007/09/1111.0432007/09/1210.9732007/09/1311.1332007/09/1411.1432007/09/1711.2632007/09/1811.2532007/09/1910.9632007/09/2010.9532007/09/2110.8232007/09/2410.8832007/09/2510.6032007/09/2610.4832007/09/2710.5232007/09/2810.8232007/10/

21、0811.0232007/10/0910.9732007/10/1011.0532007/10/1111.5132007/10/1211.0632007/10/1511.1332007/10/1611.4532007/10/1711.1832007/10/1810.7332007/10/1910.6132007/10/2210.2432007/10/2310.5432007/10/2410.3232007/10/259.8132007/10/2610.3032007/10/2910.6532007/10/3010.6832007/10/3111.4132007/11/0111.3032007/

22、11/0211.5532007/11/0511.3732007/11/0610.9132007/11/0711.2132007/11/0810.5732007/11/0910.4832007/11/1210.2132007/11/1310.1032007/11/1410.4732007/11/1510.3532007/11/1610.1932007/11/1910.2732007/11/2010.3232007/11/2110.1132007/11/229.7732007/11/239.9632007/11/269.7932007/11/279.7932007/11/289.6132007/1

23、1/299.9532007/11/309.7832007/12/039.8832007/12/049.9232007/12/0510.0632007/12/0610.0232007/12/0710.0432007/12/1010.0732007/12/1110.0932007/12/129.9032007/12/139.7632007/12/149.8232007/12/179.4832007/12/189.5132007/12/199.7932007/12/209.8632007/12/219.8732007/12/249.9632007/12/259.8432007/12/269.8732

24、007/12/2710.0132007/12/289.9232008/01/0210.0732008/01/0310.0732008/01/0410.1132008/01/0710.1632008/01/0810.1932008/01/0910.1632008/01/1010.1132008/01/1110.4232008/01/1410.3732008/01/1510.4932008/01/1610.1432008/01/179.9732008/01/1810.0132008/01/219.5332008/01/238.9332008/01/248.8532008/01/259.023200

25、8/01/288.2932008/01/298.6732008/01/308.5932008/01/318.5532008/02/018.5532008/02/049.2432008/02/059.1432008/02/138.8832008/02/148.9432008/02/158.7632008/02/188.8432008/02/198.9732008/02/208.7032008/02/218.6432008/02/228.3932008/02/258.3032008/02/268.5032008/02/278.6432008/02/288.5432008/02/298.623200

26、8/03/038.6832008/03/048.4332008/03/058.4032008/03/068.4932008/03/078.4132008/03/108.1832008/03/118.1632008/03/127.8932008/03/137.6532008/03/147.6632008/03/177.3832008/03/186.8232008/03/196.9932008/03/207.1332008/03/217.0832008/03/246.8332008/03/256.9432008/03/267.0132008/03/276.6232008/03/287.003200

27、8/03/316.8832008/04/016.6632008/04/026.9632008/04/037.1132008/04/077.3332008/04/087.2732008/04/096.8632008/04/106.9032008/04/116.9732008/04/146.6132008/04/156.6632008/04/166.4832008/04/176.0932008/04/185.8232008/04/215.9132008/04/226.1132008/04/236.2732008/04/246.9232008/04/256.6932008/04/286.583200

28、8/04/296.5832008/04/306.9632008/05/057.0132008/05/066.9232008/05/076.5932008/05/086.6732008/05/096.5432008/05/126.5632008/05/136.3632008/05/146.6832008/05/156.5932008/05/166.5632008/05/196.5132008/05/206.1532008/05/216.2132008/05/226.1332008/05/236.1532008/05/266.0132008/05/276.0732008/05/286.223200

29、8/05/296.0732008/05/306.1432008/06/026.2632008/06/036.1432008/06/046.0832008/06/056.0932008/06/066.0432008/06/105.4532008/06/115.4632008/06/135.1932008/06/165.1732008/06/175.0532008/06/185.3132008/06/194.8832008/06/205.0032008/06/234.9732008/06/245.1332008/06/255.3072008/06/265.2272008/06/274.927200

30、8/06/304.9572008/07/014.8272008/07/024.8772008/07/034.9872008/07/045.0572008/07/075.4372008/07/085.3672008/07/095.5972008/07/105.5172008/07/115.5572008/07/145.6672008/07/155.3772008/07/165.1172008/07/175.1372008/07/185.3872008/07/215.5072008/07/225.4272008/07/235.4972008/07/245.6072008/07/255.477200

31、8/07/285.5472008/07/295.3872008/07/305.3772008/07/315.2272008/08/015.4072008/08/045.3072008/08/055.2772008/08/065.3972008/08/075.3972008/08/085.0472008/08/114.8272008/08/124.8372008/08/134.8772008/08/144.8672008/08/155.0072008/08/184.7872008/08/194.8572008/08/205.2672008/08/215.1872008/08/225.097200

32、8/08/255.1772008/08/265.3972008/08/275.4272008/08/285.3872008/08/295.5072008/09/015.2172008/09/025.1872008/09/035.0272008/09/045.0972008/09/054.9172008/09/084.9672008/09/095.0372008/09/105.0872008/09/114.8672008/09/124.8672008/09/164.3672008/09/174.0272008/09/184.2872008/09/194.7372008/09/225.227200

33、8/09/234.8672008/09/244.8572008/09/254.9172008/09/264.8972008/10/064.4372008/10/074.4772008/10/084.2672008/10/094.2272008/10/104.0872008/10/134.4272008/10/144.2472008/10/154.3672008/10/164.1172008/10/174.1972008/10/204.3672008/10/214.2772008/10/224.1572008/10/234.0172008/10/243.9172008/10/273.627200

34、8/10/283.8272008/10/293.6772008/10/303.7572008/10/313.7172008/11/033.7372008/11/043.7672008/11/053.9072008/11/063.7572008/11/073.8172008/11/104.0572008/11/113.9372008/11/123.9772008/11/134.0972008/11/144.2372008/11/174.3272008/11/183.9772008/11/194.2472008/11/204.1372008/11/214.1072008/11/243.977200

35、8/11/253.9772008/11/264.0072008/11/274.0172008/11/283.8372008/12/013.8772008/12/023.8372008/12/033.9772008/12/044.0572008/12/054.0772008/12/084.2472008/12/094.1072008/12/104.2772008/12/114.1072008/12/123.9472008/12/153.9772008/12/163.9172008/12/173.9672008/12/184.1072008/12/194.0672008/12/223.947200

36、8/12/233.8372008/12/243.7872008/12/253.7672008/12/263.7672008/12/303.7172008/12/313.6872009/01/053.7872009/01/063.8672009/01/073.8072009/01/083.6672009/01/093.7172009/01/123.7072009/01/133.6372009/01/143.7572009/01/153.7372009/01/163.8272009/01/193.9072009/01/203.8972009/01/213.8672009/01/223.887200

37、9/01/233.8472009/02/023.8472009/02/033.9472009/02/044.0772009/02/054.0572009/02/064.1772009/02/094.2472009/02/104.2872009/02/114.3972009/02/124.2872009/02/134.4072009/02/164.6472009/02/174.4772009/02/184.2472009/02/194.2572009/02/204.2972009/02/234.4372009/02/244.2172009/02/254.3572009/02/264.217200

38、9/02/274.1372009/03/024.1472009/03/034.0772009/03/044.3372009/03/054.4272009/03/064.3472009/03/094.5472009/03/104.5472009/03/114.4272009/03/124.3672009/03/134.3672009/03/164.4772009/03/174.5572009/03/184.5172009/03/194.5472009/03/204.5372009/03/234.6172009/03/244.5872009/03/254.5072009/03/264.667200

39、9/03/274.6472009/03/304.6272009/03/314.6072009/04/014.6472009/04/024.7072009/04/034.8472009/04/074.7872009/04/084.5672009/04/094.5972009/04/104.6772009/04/134.7472009/04/144.7272009/04/154.7072009/04/164.8272009/04/174.7272009/04/204.8172009/04/214.7372009/04/224.6372009/04/234.5972009/04/244.567200

40、9/04/274.5272009/04/284.6172009/04/294.7672009/04/304.6772009/05/044.7972009/05/054.7872009/05/064.8372009/05/074.8172009/05/084.9972009/05/114.8972009/05/124.9772009/05/134.9472009/05/144.8372009/05/154.8872009/05/184.9772009/05/194.9872009/05/204.9472009/05/214.8472009/05/224.8272009/05/254.817200

41、9/05/264.7872009/05/274.9072009/06/014.9972009/06/024.9372009/06/035.1372009/06/045.0872009/06/054.9872009/06/085.1572009/06/095.3072009/06/105.4272009/06/115.4372009/06/125.2572009/06/155.5772009/06/165.4772009/06/175.4972009/06/185.6172009/06/195.6472009/06/225.7972009/06/235.9472009/06/245.857200

42、9/06/255.8172009/06/265.8572009/06/305.7972009/07/015.8672009/07/025.8872009/07/035.8272009/07/066.1072009/07/076.0072009/07/085.9172009/07/096.0472009/07/106.1172009/07/135.9172009/07/145.9972009/07/156.0172009/07/166.2872009/07/176.2072009/07/206.3672009/07/216.2172009/07/226.2472009/07/236.272200

43、9/07/246.2522009/07/276.3622009/07/286.3022009/07/296.1522009/07/306.3622009/07/316.4522009/08/036.4322009/08/046.5922009/08/056.7622009/08/066.4722009/08/076.1922009/08/106.1322009/08/116.1422009/08/125.8122009/08/135.9122009/08/145.6222009/08/175.3322009/08/185.4122009/08/195.1422009/08/205.322200

44、9/08/215.3522009/08/245.3022009/08/255.0422009/08/265.0722009/08/275.1022009/08/285.0622009/08/314.7322009/09/014.8222009/09/025.0922009/09/035.1922009/09/045.1922009/09/075.4122009/09/085.4322009/09/095.5222009/09/105.5622009/09/115.7522009/09/145.7422009/09/155.8322009/09/165.6322009/09/175.672200

45、9/09/185.4522009/09/215.4822009/09/225.3722009/09/235.2622009/09/245.4822009/09/255.6022009/09/285.4522009/09/295.5222009/09/305.5322009/10/095.7022009/10/125.6722009/10/135.7322009/10/145.7322009/10/155.8022009/10/165.7422009/10/195.8122009/10/206.0422009/10/216.0622009/10/226.1722009/10/236.412200

46、9/10/266.3922009/10/276.1322009/10/286.2822009/10/296.1822009/10/306.2022009/11/026.3422009/11/036.3222009/11/046.3022009/11/056.3322009/11/066.3822009/11/096.3622009/11/106.3422009/11/116.2922009/11/126.2922009/11/136.3522009/11/166.6022009/11/176.8122009/11/186.7922009/11/196.7522009/11/206.972200

47、9/11/236.9022009/11/246.5322009/11/256.5922009/11/266.3722009/11/276.2422009/11/306.3922009/12/016.4522009/12/026.5622009/12/036.5222009/12/047.1822009/12/077.4222009/12/087.4622009/12/097.1922009/12/107.4222009/12/117.3522009/12/148.0922009/12/158.1522009/12/168.1322009/12/177.7022009/12/187.7022009/12/217.4922009/12/227.4422009/12/237.3922009/12/247.6022009/12/257.3922009/12/287.5222009/12/297.7422009/12/308.202200