中信银行股市风险波动解析(doc 29页).doc

中信银行股市风险波动分析 股票的价格时刻处于波动之中，因而未来的一个投资期的收益率rt是不确定的，其本质上是一个随机变量，具有一定的概率分布。在已知现在及以前信息的情况下，它服从一定的条件概率分布，其不确定性可以用条件异方差来度量。考虑若干投资期，设pt表示某种股票第t个投资期的收盘价，相应的对数收益率为rt=log(pt)-log(pt-1)。 下面对中信银行的收益序列建立GARCH模型，估计其方差序列并分析动态风险波动特征。样本数据为2007年4月27日至2011年6月22日，共1000个交易日。以1000个交易日的日收盘数据为基本的分析数据，数据来源于广发证券股票交易软件，具体数据如附表1。下面的相关估计结果由Eviews5.0得出。一、 回归拟合由前面的分析可得，研究金融资产收益率时通常使用对数收益率，对原数据经过处理并作对数收益率图、自相关图。根据对数收益率时序图和单位根检验可以看出，该序列是平稳的。由自相关图中的Q-Stat统计量检验得出，序列不是纯随机的，尝试构造AR（2）模型， AR（2）模型为yt=-0.000664-0.066621 xt-1-0.025976xt-2+ vt对数收益率时序图 ADF检验结果t-StatisticProb.*Augmented Dickey-Fuller test statistic-34.404010.0000Test critical values:1% level-3.4366835% level-2.86422510% level-2.568251对数收益率自相关图二、 残差自相关性检验由残差序列的自相关图中Q-Stat统计量得，滞后15阶的P值都大于0.05，接受原假设，说明残差序列vt为纯随机序列。三、异方差自相关性检验对残差序列利用LM统计量检验看是否存在异方差性，检验结果如表1。从表中可以看出延迟6阶的检验结果表明残差序列具有显著的异方差性。假设异方差函数为ht，则有vt(ht)0.5N(0,1)。表1VariableCoefficientStd. Errort-StatisticProb.C0.0003796.93E-055.4650730.0000RESID2(-1)0.0688900.0319902.1534710.0315RESID2(-2)0.0397250.0320621.2390000.0156RESID2(-3)0.1021400.0320663.1853370.0015RESID2(-4)0.0939430.0322042.9171210.0036RESID2(-5)0.0631520.0322561.9578650.0505RESID2(-6)0.0731570.0322182.2706470.0234RESID2(-7)-0.031910.032122-0.9934210.3208RESID2(-8)0.0389500.0319891.2175980.2237RESID2(-9)0.0035910.0319790.1123070.9106RESID2(-10)0.0323780.0315011.0278500.3043四、ARCH模型阶数估计由于LM统计量显示出残差序列具有异方差长期自相关性，即存在较高阶ARCH效应，对该收益率残差序列拟合GARCH（1，1）模型及其他一些高阶GARCH模型，表2列出了残差序列拟合的各阶GARCH模型的AIC值。表2 GARCH模型定阶GARCH（p，q）AIC（1，1）-4.466219（1，2）-4.464253（2，1）-4.464219（2，2）-4.459765 从表2中可以看出，残差序列在AIC准则下的适合模型阶数为GARCH（1，1）。五、参数估计对模型的参数进行极大似然估计，参数估计值如表3，可得残差序列的GARCH（1，1）模型为yt=-0.000664-0.066621 xt-1-0.025976xt-2+ vtvt=(ht)0.5etht=0.0000848+0.957116ht-1+0.057375v2t-1参数显著性检验显示，除自回归模型中的参数外，其他参数均显著。需要说明的是自回归模型中的参数不显著对模型没有影响，目的是为得到残差序列。表3 CoefficientStd. Errorz-StatisticProb.C-0.0006640.000783-0.8476280.3966Y(-1)-0.0666210.033472-1.9903690.0466Y(-2)-0.0259760.032228-0.8060050.0202Variance EquationC8.48E-062.44E-063.4696460.0005RESID(-1)2*(RESID(-1)0)0.0573750.0094346.0818120.0000GARCH(-1)0.9571160.005969160.35820.0000R-squared0.7683Mean dependent var-0.000785Adjusted R-squared0.2676S.D. dependent var0.027358S.E. of regression0.027322Akaike info criterion-4.466219Sum squared resid0.739763Schwarz criterion-4.436702Log likelihood2232.410F-statistic1.534511Durbin-Watson stat2.020614Prob(F-statistic)0.176329六、模型的有效性检验 VariableCoefficientStd. Errort-StatisticProb.C0.7467220.1100496.7853260.0000STD_RESID2(-1)-0.0102300.032077-0.3189310.7498STD_RESID2(-2)-0.0025160.032077-0.0784370.9375STD_RESID2(-3)0.0585180.0320731.8244930.0684STD_RESID2(-4)0.0684050.0321252.1293430.1335STD_RESID2(-5)0.0583850.0321791.8143980.0699STD_RESID2(-6)0.1004710.0321973.1205200.0719STD_RESID2(-7)-0.0447270.032197-1.3891920.1651STD_RESID2(-8)0.0362360.0321761.1261850.2604STD_RESID2(-9)0.0041520.0321210.1292520.8972STD_RESID2(-10)-0.0059710.032068-0.1862070.8523STD_RESID2(-11)-0.0067330.032069-0.2099470.8338STD_RESID2(-12)-0.0036350.032049-0.1134280.9097 利用估计的条件异方差序列ht，得到新的残差序列，由自相关图中的Q-Stat统计量滞后15阶的P值都大于0.05，拒绝原假设，表明新的残差序列为纯随机序列。通过LM统计量检验的P值可以看出，10阶统计量的检验结果都表明新的残差序列不存在异方差性，由此说明模型是有效的。七、结论通过建立的GARCH（1，1）模型的参数可以看出中信银行的对数收益率序列的记忆性是比较强的，还有由于是正相关关系，说明中信银行的股票是高风险高收益的，适合于风险偏好的投资者投资。由条件异方差估计图可以得出，条件异方差序列是随着时间波动的，而且波动幅度比较大，也就是说风险是随时间变化的，具有明显的时变性。从中信银行收益率序列的条件异方差序列来看，其条件异方差序列的最大值和最小值相差较大，说明我国股市风险波动范围较大。另外一方面也反映出风险具有一种阶段性，有一段时间风险较大，而有一段时间风险较小，股价的风险波动具有簇集性，股票价格是随风险波动的。条件异方差图附表1 中信银行（601899）收盘价数据2007/04/2711.143 2007/04/3010.113 2007/05/0810.233 2007/05/0911.233 2007/05/1011.233 2007/05/1111.493 2007/05/1411.343 2007/05/1510.673 2007/05/1610.743 2007/05/1710.783 2007/05/1810.583 2007/05/2110.413 2007/05/2210.403 2007/05/2310.503 2007/05/2410.633 2007/05/2510.463 2007/05/2810.583 2007/05/2910.693 2007/05/309.883 2007/05/3110.433 2007/06/0110.263 2007/06/049.213 2007/06/059.503 2007/06/069.423 2007/06/079.523 2007/06/0810.003 2007/06/119.953 2007/06/129.793 2007/06/1310.073 2007/06/149.773 2007/06/159.823 2007/06/1810.013 2007/06/199.883 2007/06/209.583 2007/06/219.723 2007/06/229.433 2007/06/259.213 2007/06/269.223 2007/06/279.513 2007/06/289.133 2007/06/298.973 2007/07/028.953 2007/07/039.083 2007/07/048.863 2007/07/058.283 2007/07/068.643 2007/07/098.713 2007/07/108.813 2007/07/118.823 2007/07/128.913 2007/07/138.823 2007/07/168.823 2007/07/179.173 2007/07/189.283 2007/07/199.183 2007/07/209.553 2007/07/239.783 2007/07/249.713 2007/07/2510.703 2007/07/2610.723 2007/07/2710.573 2007/07/3010.583 2007/07/3110.263 2007/08/019.813 2007/08/0210.053 2007/08/0310.463 2007/08/0610.303 2007/08/0710.413 2007/08/0810.663 2007/08/0910.573 2007/08/1010.713 2007/08/1311.193 2007/08/1411.023 2007/08/1511.103 2007/08/1611.153 2007/08/1710.683 2007/08/2111.193 2007/08/2211.123 2007/08/2310.973 2007/08/2411.343 2007/08/2712.343 2007/08/2812.283 2007/08/2911.733 2007/08/3011.983 2007/08/3111.883 2007/09/0311.893 2007/09/0411.843 2007/09/0511.773 2007/09/0612.003 2007/09/0711.613 2007/09/1011.963 2007/09/1111.043 2007/09/1210.973 2007/09/1311.133 2007/09/1411.143 2007/09/1711.263 2007/09/1811.253 2007/09/1910.963 2007/09/2010.953 2007/09/2110.823 2007/09/2410.883 2007/09/2510.603 2007/09/2610.483 2007/09/2710.523 2007/09/2810.823 2007/10/0811.023 2007/10/0910.973 2007/10/1011.053 2007/10/1111.513 2007/10/1211.063 2007/10/1511.133 2007/10/1611.453 2007/10/1711.183 2007/10/1810.733 2007/10/1910.613 2007/10/2210.243 2007/10/2310.543 2007/10/2410.323 2007/10/259.813 2007/10/2610.303 2007/10/2910.653 2007/10/3010.683 2007/10/3111.413 2007/11/0111.303 2007/11/0211.553 2007/11/0511.373 2007/11/0610.913 2007/11/0711.213 2007/11/0810.573 2007/11/0910.483 2007/11/1210.213 2007/11/1310.103 2007/11/1410.473 2007/11/1510.353 2007/11/1610.193 2007/11/1910.273 2007/11/2010.323 2007/11/2110.113 2007/11/229.773 2007/11/239.963 2007/11/269.793 2007/11/279.793 2007/11/289.613 2007/11/299.953 2007/11/309.783 2007/12/039.883 2007/12/049.923 2007/12/0510.063 2007/12/0610.023 2007/12/0710.043 2007/12/1010.073 2007/12/1110.093 2007/12/129.903 2007/12/139.763 2007/12/149.823 2007/12/179.483 2007/12/189.513 2007/12/199.793 2007/12/209.863 2007/12/219.873 2007/12/249.963 2007/12/259.843 2007/12/269.873 2007/12/2710.013 2007/12/289.923 2008/01/0210.073 2008/01/0310.073 2008/01/0410.113 2008/01/0710.163 2008/01/0810.193 2008/01/0910.163 2008/01/1010.113 2008/01/1110.423 2008/01/1410.373 2008/01/1510.493 2008/01/1610.143 2008/01/179.973 2008/01/1810.013 2008/01/219.533 2008/01/238.933 2008/01/248.853 2008/01/259.023 2008/01/288.293 2008/01/298.673 2008/01/308.593 2008/01/318.553 2008/02/018.553 2008/02/049.243 2008/02/059.143 2008/02/138.883 2008/02/148.943 2008/02/158.763 2008/02/188.843 2008/02/198.973 2008/02/208.703 2008/02/218.643 2008/02/228.393 2008/02/258.303 2008/02/268.503 2008/02/278.643 2008/02/288.543 2008/02/298.623 2008/03/038.683 2008/03/048.433 2008/03/058.403 2008/03/068.493 2008/03/078.413 2008/03/108.183 2008/03/118.163 2008/03/127.893 2008/03/137.653 2008/03/147.663 2008/03/177.383 2008/03/186.823 2008/03/196.993 2008/03/207.133 2008/03/217.083 2008/03/246.833 2008/03/256.943 2008/03/267.013 2008/03/276.623 2008/03/287.003 2008/03/316.883 2008/04/016.663 2008/04/026.963 2008/04/037.113 2008/04/077.333 2008/04/087.273 2008/04/096.863 2008/04/106.903 2008/04/116.973 2008/04/146.613 2008/04/156.663 2008/04/166.483 2008/04/176.093 2008/04/185.823 2008/04/215.913 2008/04/226.113 2008/04/236.273 2008/04/246.923 2008/04/256.693 2008/04/286.583 2008/04/296.583 2008/04/306.963 2008/05/057.013 2008/05/066.923 2008/05/076.593 2008/05/086.673 2008/05/096.543 2008/05/126.563 2008/05/136.363 2008/05/146.683 2008/05/156.593 2008/05/166.563 2008/05/196.513 2008/05/206.153 2008/05/216.213 2008/05/226.133 2008/05/236.153 2008/05/266.013 2008/05/276.073 2008/05/286.223 2008/05/296.073 2008/05/306.143 2008/06/026.263 2008/06/036.143 2008/06/046.083 2008/06/056.093 2008/06/066.043 2008/06/105.453 2008/06/115.463 2008/06/135.193 2008/06/165.173 2008/06/175.053 2008/06/185.313 2008/06/194.883 2008/06/205.003 2008/06/234.973 2008/06/245.133 2008/06/255.307 2008/06/265.227 2008/06/274.927 2008/06/304.957 2008/07/014.827 2008/07/024.877 2008/07/034.987 2008/07/045.057 2008/07/075.437 2008/07/085.367 2008/07/095.597 2008/07/105.517 2008/07/115.557 2008/07/145.667 2008/07/155.377 2008/07/165.117 2008/07/175.137 2008/07/185.387 2008/07/215.507 2008/07/225.427 2008/07/235.497 2008/07/245.607 2008/07/255.477 2008/07/285.547 2008/07/295.387 2008/07/305.377 2008/07/315.227 2008/08/015.407 2008/08/045.307 2008/08/055.277 2008/08/065.397 2008/08/075.397 2008/08/085.047 2008/08/114.827 2008/08/124.837 2008/08/134.877 2008/08/144.867 2008/08/155.007 2008/08/184.787 2008/08/194.857 2008/08/205.267 2008/08/215.187 2008/08/225.097 2008/08/255.177 2008/08/265.397 2008/08/275.427 2008/08/285.387 2008/08/295.507 2008/09/015.217 2008/09/025.187 2008/09/035.027 2008/09/045.097 2008/09/054.917 2008/09/084.967 2008/09/095.037 2008/09/105.087 2008/09/114.867 2008/09/124.867 2008/09/164.367 2008/09/174.027 2008/09/184.287 2008/09/194.737 2008/09/225.227 2008/09/234.867 2008/09/244.857 2008/09/254.917 2008/09/264.897 2008/10/064.437 2008/10/074.477 2008/10/084.267 2008/10/094.227 2008/10/104.087 2008/10/134.427 2008/10/144.247 2008/10/154.367 2008/10/164.117 2008/10/174.197 2008/10/204.367 2008/10/214.277 2008/10/224.157 2008/10/234.017 2008/10/243.917 2008/10/273.627 2008/10/283.827 2008/10/293.677 2008/10/303.757 2008/10/313.717 2008/11/033.737 2008/11/043.767 2008/11/053.907 2008/11/063.757 2008/11/073.817 2008/11/104.057 2008/11/113.937 2008/11/123.977 2008/11/134.097 2008/11/144.237 2008/11/174.327 2008/11/183.977 2008/11/194.247 2008/11/204.137 2008/11/214.107 2008/11/243.977 2008/11/253.977 2008/11/264.007 2008/11/274.017 2008/11/283.837 2008/12/013.877 2008/12/023.837 2008/12/033.977 2008/12/044.057 2008/12/054.077 2008/12/084.247 2008/12/094.107 2008/12/104.277 2008/12/114.107 2008/12/123.947 2008/12/153.977 2008/12/163.917 2008/12/173.967 2008/12/184.107 2008/12/194.067 2008/12/223.947 2008/12/233.837 2008/12/243.787 2008/12/253.767 2008/12/263.767 2008/12/303.717 2008/12/313.687 2009/01/053.787 2009/01/063.867 2009/01/073.807 2009/01/083.667 2009/01/093.717 2009/01/123.707 2009/01/133.637 2009/01/143.757 2009/01/153.737 2009/01/163.827 2009/01/193.907 2009/01/203.897 2009/01/213.867 2009/01/223.887 2009/01/233.847 2009/02/023.847 2009/02/033.947 2009/02/044.077 2009/02/054.057 2009/02/064.177 2009/02/094.247 2009/02/104.287 2009/02/114.397 2009/02/124.287 2009/02/134.407 2009/02/164.647 2009/02/174.477 2009/02/184.247 2009/02/194.257 2009/02/204.297 2009/02/234.437 2009/02/244.217 2009/02/254.357 2009/02/264.217 2009/02/274.137 2009/03/024.147 2009/03/034.077 2009/03/044.337 2009/03/054.427 2009/03/064.347 2009/03/094.547 2009/03/104.547 2009/03/114.427 2009/03/124.367 2009/03/134.367 2009/03/164.477 2009/03/174.557 2009/03/184.517 2009/03/194.547 2009/03/204.537 2009/03/234.617 2009/03/244.587 2009/03/254.507 2009/03/264.667 2009/03/274.647 2009/03/304.627 2009/03/314.607 2009/04/014.647 2009/04/024.707 2009/04/034.847 2009/04/074.787 2009/04/084.567 2009/04/094.597 2009/04/104.677 2009/04/134.747 2009/04/144.727 2009/04/154.707 2009/04/164.827 2009/04/174.727 2009/04/204.817 2009/04/214.737 2009/04/224.637 2009/04/234.597 2009/04/244.567 2009/04/274.527 2009/04/284.617 2009/04/294.767 2009/04/304.677 2009/05/044.797 2009/05/054.787 2009/05/064.837 2009/05/074.817 2009/05/084.997 2009/05/114.897 2009/05/124.977 2009/05/134.947 2009/05/144.837 2009/05/154.887 2009/05/184.977 2009/05/194.987 2009/05/204.947 2009/05/214.847 2009/05/224.827 2009/05/254.817 2009/05/264.787 2009/05/274.907 2009/06/014.997 2009/06/024.937 2009/06/035.137 2009/06/045.087 2009/06/054.987 2009/06/085.157 2009/06/095.307 2009/06/105.427 2009/06/115.437 2009/06/125.257 2009/06/155.577 2009/06/165.477 2009/06/175.497 2009/06/185.617 2009/06/195.647 2009/06/225.797 2009/06/235.947 2009/06/245.857 2009/06/255.817 2009/06/265.857 2009/06/305.797 2009/07/015.867 2009/07/025.887 2009/07/035.827 2009/07/066.107 2009/07/076.007 2009/07/085.917 2009/07/096.047 2009/07/106.117 2009/07/135.917 2009/07/145.997 2009/07/156.017 2009/07/166.287 2009/07/176.207 2009/07/206.367 2009/07/216.217 2009/07/226.247 2009/07/236.272 2009/07/246.252 2009/07/276.362 2009/07/286.302 2009/07/296.152 2009/07/306.362 2009/07/316.452 2009/08/036.432 2009/08/046.592 2009/08/056.762 2009/08/066.472 2009/08/076.192 2009/08/106.132 2009/08/116.142 2009/08/125.812 2009/08/135.912 2009/08/145.622 2009/08/175.332 2009/08/185.412 2009/08/195.142 2009/08/205.322 2009/08/215.352 2009/08/245.302 2009/08/255.042 2009/08/265.072 2009/08/275.102 2009/08/285.062 2009/08/314.732 2009/09/014.822 2009/09/025.092 2009/09/035.192 2009/09/045.192 2009/09/075.412 2009/09/085.432 2009/09/095.522 2009/09/105.562 2009/09/115.752 2009/09/145.742 2009/09/155.832 2009/09/165.632 2009/09/175.672 2009/09/185.452 2009/09/215.482 2009/09/225.372 2009/09/235.262 2009/09/245.482 2009/09/255.602 2009/09/285.452 2009/09/295.522 2009/09/305.532 2009/10/095.702 2009/10/125.672 2009/10/135.732 2009/10/145.732 2009/10/155.802 2009/10/165.742 2009/10/195.812 2009/10/206.042 2009/10/216.062 2009/10/226.172 2009/10/236.412 2009/10/266.392 2009/10/276.132 2009/10/286.282 2009/10/296.182 2009/10/306.202 2009/11/026.342 2009/11/036.322 2009/11/046.302 2009/11/056.332 2009/11/066.382 2009/11/096.362 2009/11/106.342 2009/11/116.292 2009/11/126.292 2009/11/136.352 2009/11/166.602 2009/11/176.812 2009/11/186.792 2009/11/196.752 2009/11/206.972 2009/11/236.902 2009/11/246.532 2009/11/256.592 2009/11/266.372 2009/11/276.242 2009/11/306.392 2009/12/016.452 2009/12/026.562 2009/12/036.522 2009/12/047.182 2009/12/077.422 2009/12/087.462 2009/12/097.192 2009/12/107.422 2009/12/117.352 2009/12/148.092 2009/12/158.152 2009/12/168.132 2009/12/177.702 2009/12/187.702 2009/12/217.492 2009/12/227.442 2009/12/237.392 2009/12/247.602 2009/12/257.392 2009/12/287.522 2009/12/297.742 2009/12/308.202 2009/12/318.142 2010/01/047.982 2010/01/058.082 2010/01/067.852 2010/01/077.582 2010/01/087.652 2010/01/117.572 2010/01/127.592 2010/01/137.202 2010/01/147.212 2010/01/157.332 2010/01/187.302 2010/01/197.412 2010/01/207.122 2010/01/217.252 2010/01/227.502 2010/01/257.272 2010/01/267.402 2010/01/277.162 2010/01/286.932 2010/01/296.842 2010/02/016.612 2010/02/026.602 2010/02/036.872 2010/02/046.782 2010/02/086.602 2010/02/096.642 2010/02/106.722 2010/02/116