毕业论文2008届ARMA(p,q)模型在股票风险分析中的应用学生姓名.docVIP

毕 业 论 文 2008届 ARMA(p,q)模型在股票风险分析中的应用 学生姓名 雷凌湘 学 号 院 系 数理信息学院 专 业 数学与应用数学 指导教师 盛宝怀 完成日期 2008-5-10 ARMA(p,q)模型在股票风险分析中的应用 摘要 中国股市是新兴资本市场的典型代表，从长期回报来看，投资中国股市获得丰厚回报是大有希望的，但中国股民绝对不能因此而盲目乐观，那种认为中国股市里遍地是黄金的观点是幼稚和可怕的.本文以上海航空公司股票的波动性案例应用Eviews软件通过拉格朗日检验(LM)， ARMA(p,q)模型及移动平均法预测股市日收益率的波动性,并计算每日的VaR值来检验股市风险. 关键词 Eviews软件；拉格朗日检验(LM) ；ARMA(p,q)模型； VaR值 The Application of ARMA (p, q) model in stock risk analysis ABSTRACT Chinas stock market is emerging capital markets of the typical representative from a long-term returns, investment in Chinas stock market was a promising lucrative returns, but investors in China can not be blindly optimistic, asserting that Chinas stock market in the land of gold of the view that Naive and terrible. In this paper, through the Lagrangian Eviews software testing (LM), ARMA (p, q) model law ﹑ moving average yield forecast on the stock market volatility, and calculate the daily VaR value to test the stock market risk. Shanghai Airlines to this specific case for that. KEY WORDS Eviews software Lagrange test (LM) ARMA (p, q) model VaR value 目 录 中文摘要....................................................... 英文摘要........................................................ 1 前言...........................................................1 2 分析实例.......................................................2 3 理论基础.......................................................2 3.1 ARCH模型简介............................................. .2 3.2 VaR的基本含义..............................................3 4 实证分析.......................................................3 5 风险值的计算...................................................6 5.1 AR（8）模型的参数估计......................................6 5.2 VaR计算....................................................8 6 结论 ..........................................................9 7 参考文献.................................