创业板与主板联动性 波动性及风险分析实证分析-empirical analysis of linkage fluctuation and risk between growth enterprise market and main board.docx

值进行比较，可以得出：t分布下和99%的置信水平下，容易高估风险；在GED分布下EGARCH-VaR模型对风险的覆盖程度较好。在实际的投资 决策过程中，无论风险被高估还是被低估，都不利于决策者对风险进 行有效的管理,因此，对创业板市场的波动性风险进行准确评估可以 有效的来管理创业板市场的风险。关键词: 创业板指数，联动性分析，GARCH 类模型，VaRIIABSTRACTGrowth Enterprise Market mainly offers high growth emerging enterprises an alternative of financing and capital operation, especially high-tech enterprises, and it’s also an important part of Multi-level capital market. In the high speed economic development country such as China, small and medium enterprises need the counterpart finance environment and nonstop new impetus development. Growth Enterprise Market is designed to creat a loose environment for China new economics, supply emerging enterprises with sustainable development capital, and supply finance more flexible convenient and efficient than commercial bank and traditional securities market.China Growth Enterprise Market is mainly consist of high growth small and medium enterprise, which is high risk, therefore Growth Enterprise Market index volatility is high. The analysis result show at 5% level of significance, Shanghai composite index is said to granger causality Growth Enterprise Market index, (however at 10% level ofsignificance，the change of Growth Enterprise Market and Shanghaicomposite index are mutually influence), Shenzhen Component Index and Growth Enterprise Market index are mutually granger causality, thus research the dynamic association relationship among Growth Enterprise Market, Shanghai stock market and Shenzhen stock market.This paper mainly utilize GARCH models and their extendedIIImodels to create Growth Enterprise Market volatility model, by which describe Growth Enterprise Market volatility, considering financial assets character of high peak and fat tail, introduce GED distribution which can describe earnings yield character of high peak and fat tail, meanwhile utilize normal distribution, student-T distribution and GED distribution to fit the Growth Enterprise Market earnings yield di