中信银行的股风险的波动分析报告报告材料

1、实用标准文案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(p t)-log(p t-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

2、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 x t-1 -0.025976x t-2 + v t 对数收益率时序图精彩文档实用标准文案ADF检验结果t-Statistic Prob.*A

3、ugmented Dickey-Fuller test statistic -34.40401 0.0000Test criticalvalues:1% level-3.4366835% level-2.86422510%level-2.568251对数收益率自相关图精彩文档实用标准文案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

4、性。假设异方差函数为 ht，则有vt(ht)0.5N(0,1)表1精彩文档实用标准文案VariableCoefficient Std. Error t-StatisticProb.CRESID2(-1)RESID2(-2)RESID2(-3)RESID2(-4)RESID2(-5)RESID2(-6)RESID2(-7)RESID2(-8)RESID2(-9)0.0003790.0688900.0397250.1021400.0939430.0631520.073157-0.031910.0389500.003596.93E-050.0319900.0320620.0320660.032204

5、0.0322560.0322180.0321220.0319890.0319795.4650732.1534711.2390003.1853372.9171211.9578652.270647-0.9934211.2175980.1123070.00000.03150.01560.00150.00360.05050.02340.32080.22370.9106精彩文档实用标准文案10.03237RESID2（-10） 8 0.031501 1.027850 0.3043四、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

6、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 x t-1 -0.025976x t-2 + v tvt=（h t）0.5et

7、ht =0.0000848+0.957116h t-1 +0.057375v 2t-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。精彩文档实用标准文案表3CoefficientStd. 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-0

8、6 3.4696460.0005RESID(-1)2*(RESID(-1)0)0.0573750.009434 6.0818120.0000GARCH(-1)0.9571160.005969 160.35820.0000-0.00078R-squared0.7683Mean dependent var5Adjusted0.02735R-squared0.2676S.D. dependent var8-4.46621S.E. of regression0.027322Akaike info criterion9Sum squared-4.43670resid0.739763Schwarz cri

9、terion21.53451Log likelihood2232.410F-statistic1精彩文档实用标准文案Durbin-Watsonstat2.020614Prob(F-statistic)0.176329六、模型的有效性检验精彩文档实用标准文案Std.VariableCoefficientErrort-StatisticProb.0.11004C0.74672296.7853260.00000.03207STD_RESID2(-1)-0.0102307-0.3189310.74980.03207STD_RESID2(-2)-0.0025167-0.0784370.93750.032

10、07STD_RESID2(-3)0.05851831.8244930.06840.03212STD_RESID2(-4)0.06840552.1293430.13350.03217STD_RESID2(-5)0.05838591.8143980.0699精彩文档实用标准文案0.03219STD_RESID2(-6)0.10047173.1205200.07190.03219STD_RESID2(-7)-0.0447277-1.3891920.16510.03217STD_RESID2(-8)0.03623661.1261850.26040.03212STD_RESID2(-9)0.004152

11、10.1292520.8972STD_RESID2(-100.03206)-0.0059718-0.1862070.8523STD_RESID2(-110.03206)-0.0067339-0.2099470.8338STD_RESID2(-120.03204)-0.0036359-0.1134280.9097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

12、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， 条件精彩文档实用标准文案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，

13、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2007/04/2711.1432007/04/3010.1132007/05/0810.2332007/05/0911.2332007/05/1011.2332007/05/1111.4932007/05/1411.3432007/05/1510.6732007/05/1610.7432007/05/1710.7832007/05/1810.5832007/05/2110.4132007/05/2210.4032007/05/2310.5032007/05/2410.6332007/05/2510.463精彩文档

14、实用标准文案2007/05/2810.5832007/05/2910.6932007/05/309.8832007/05/3110.4332007/06/0110.2632007/06/049.2132007/06/059.5032007/06/069.4232007/06/079.5232007/06/0810.0032007/06/119.9532007/06/129.7932007/06/1310.0732007/06/149.7732007/06/159.8232007/06/1810.0132007/06/199.8832007/06/209.5832007/06/219.72320

15、07/06/229.4332007/06/259.2132007/06/269.2232007/06/279.5132007/06/289.1332007/06/298.9732007/07/028.9532007/07/039.0832007/07/048.8632007/07/058.2832007/07/068.6432007/07/098.7132007/07/108.8132007/07/118.8232007/07/128.9132007/07/138.8232007/07/168.8232007/07/179.1732007/07/189.2832007/07/199.18320

16、07/07/209.5532007/07/239.7832007/07/249.7132007/07/2510.7032007/07/2610.723精彩文档实用标准文案2007/07/2710.5732007/07/3010.5832007/07/3110.2632007/08/019.8132007/08/0210.0532007/08/0310.4632007/08/0610.3032007/08/0710.4132007/08/0810.6632007/08/0910.5732007/08/1010.7132007/08/1311.1932007/08/1411.0232007/08/

17、1511.1032007/08/1611.1532007/08/1710.6832007/08/2111.1932007/08/2211.1232007/08/2310.9732007/08/2411.3432007/08/2712.3432007/08/2812.2832007/08/2911.7332007/08/3011.9832007/08/3111.8832007/09/0311.8932007/09/0411.8432007/09/0511.7732007/09/0612.0032007/09/0711.6132007/09/1011.9632007/09/1111.0432007

18、/09/1210.9732007/09/1311.1332007/09/1411.1432007/09/1711.2632007/09/1811.2532007/09/1910.9632007/09/2010.9532007/09/2110.8232007/09/2410.8832007/09/2510.6032007/09/2610.4832007/09/2710.523精彩文档实用标准文案2007/09/2810.8232007/10/0811.0232007/10/0910.9732007/10/1011.0532007/10/1111.5132007/10/1211.0632007/1

19、0/1511.1332007/10/1611.4532007/10/1711.1832007/10/1810.7332007/10/1910.6132007/10/2210.2432007/10/2310.5432007/10/2410.3232007/10/259.8132007/10/2610.3032007/10/2910.6532007/10/3010.6832007/10/3111.4132007/11/0111.3032007/11/0211.5532007/11/0511.3732007/11/0610.9132007/11/0711.2132007/11/0810.573200

20、7/11/0910.4832007/11/1210.2132007/11/1310.1032007/11/1410.4732007/11/1510.3532007/11/1610.1932007/11/1910.2732007/11/2010.3232007/11/2110.1132007/11/229.7732007/11/239.9632007/11/269.7932007/11/279.7932007/11/289.6132007/11/299.9532007/11/309.7832007/12/039.8832007/12/049.9232007/12/0510.063精彩文档实用标准

21、文案2007/12/0610.0232007/12/0710.0432007/12/1010.0732007/12/1110.0932007/12/129.9032007/12/139.7632007/12/149.8232007/12/179.4832007/12/189.5132007/12/199.7932007/12/209.8632007/12/219.8732007/12/249.9632007/12/259.8432007/12/269.8732007/12/2710.0132007/12/289.9232008/01/0210.0732008/01/0310.0732008/0

22、1/0410.1132008/01/0710.1632008/01/0810.1932008/01/0910.1632008/01/1010.1132008/01/1110.4232008/01/1410.3732008/01/1510.4932008/01/1610.1432008/01/179.9732008/01/1810.0132008/01/219.5332008/01/238.9332008/01/248.8532008/01/259.0232008/01/288.2932008/01/298.6732008/01/308.5932008/01/318.5532008/02/018

23、.5532008/02/049.2432008/02/059.1432008/02/138.8832008/02/148.9432008/02/158.763精彩文档实用标准文案2008/02/188.8432008/02/198.9732008/02/208.7032008/02/218.6432008/02/228.3932008/02/258.3032008/02/268.5032008/02/278.6432008/02/288.5432008/02/298.6232008/03/038.6832008/03/048.4332008/03/058.4032008/03/068.4932

24、008/03/078.4132008/03/108.1832008/03/118.1632008/03/127.8932008/03/137.6532008/03/147.6632008/03/177.3832008/03/186.8232008/03/196.9932008/03/207.1332008/03/217.0832008/03/246.8332008/03/256.9432008/03/267.0132008/03/276.6232008/03/287.0032008/03/316.8832008/04/016.6632008/04/026.9632008/04/037.1132

25、008/04/077.3332008/04/087.2732008/04/096.8632008/04/106.9032008/04/116.9732008/04/146.6132008/04/156.6632008/04/166.4832008/04/176.0932008/04/185.823精彩文档实用标准文案2008/04/215.9132008/04/226.1132008/04/236.2732008/04/246.9232008/04/256.6932008/04/286.5832008/04/296.5832008/04/306.9632008/05/057.0132008/0

26、5/066.9232008/05/076.5932008/05/086.6732008/05/096.5432008/05/126.5632008/05/136.3632008/05/146.6832008/05/156.5932008/05/166.5632008/05/196.5132008/05/206.1532008/05/216.2132008/05/226.1332008/05/236.1532008/05/266.0132008/05/276.0732008/05/286.2232008/05/296.0732008/05/306.1432008/06/026.2632008/0

27、6/036.1432008/06/046.0832008/06/056.0932008/06/066.0432008/06/105.4532008/06/115.4632008/06/135.1932008/06/165.1732008/06/175.0532008/06/185.3132008/06/194.8832008/06/205.0032008/06/234.9732008/06/245.1332008/06/255.307精彩文档实用标准文案2008/06/265.2272008/06/274.9272008/06/304.9572008/07/014.8272008/07/024

28、.8772008/07/034.9872008/07/045.0572008/07/075.4372008/07/085.3672008/07/095.5972008/07/105.5172008/07/115.5572008/07/145.6672008/07/155.3772008/07/165.1172008/07/175.1372008/07/185.3872008/07/215.5072008/07/225.4272008/07/235.4972008/07/245.6072008/07/255.4772008/07/285.5472008/07/295.3872008/07/305

29、.3772008/07/315.2272008/08/015.4072008/08/045.3072008/08/055.2772008/08/065.3972008/08/075.3972008/08/085.0472008/08/114.8272008/08/124.8372008/08/134.8772008/08/144.8672008/08/155.0072008/08/184.7872008/08/194.8572008/08/205.2672008/08/215.1872008/08/225.0972008/08/255.1772008/08/265.397精彩文档实用标准文案2

30、008/08/275.4272008/08/285.3872008/08/295.5072008/09/015.2172008/09/025.1872008/09/035.0272008/09/045.0972008/09/054.9172008/09/084.9672008/09/095.0372008/09/105.0872008/09/114.8672008/09/124.8672008/09/164.3672008/09/174.0272008/09/184.2872008/09/194.7372008/09/225.2272008/09/234.8672008/09/244.8572

31、008/09/254.9172008/09/264.8972008/10/064.4372008/10/074.4772008/10/084.2672008/10/094.2272008/10/104.0872008/10/134.4272008/10/144.2472008/10/154.3672008/10/164.1172008/10/174.1972008/10/204.3672008/10/214.2772008/10/224.1572008/10/234.0172008/10/243.9172008/10/273.6272008/10/283.8272008/10/293.6772

32、008/10/303.7572008/10/313.7172008/11/033.7372008/11/043.767精彩文档实用标准文案2008/11/053.9072008/11/063.7572008/11/073.8172008/11/104.0572008/11/113.9372008/11/123.9772008/11/134.0972008/11/144.2372008/11/174.3272008/11/183.9772008/11/194.2472008/11/204.1372008/11/214.1072008/11/243.9772008/11/253.9772008/1

33、1/264.0072008/11/274.0172008/11/283.8372008/12/013.8772008/12/023.8372008/12/033.9772008/12/044.0572008/12/054.0772008/12/084.2472008/12/094.1072008/12/104.2772008/12/114.1072008/12/123.9472008/12/153.9772008/12/163.9172008/12/173.9672008/12/184.1072008/12/194.0672008/12/223.9472008/12/233.8372008/1

34、2/243.7872008/12/253.7672008/12/263.7672008/12/303.7172008/12/313.6872009/01/053.7872009/01/063.8672009/01/073.8072009/01/083.667精彩文档实用标准文案2009/01/093.7172009/01/123.7072009/01/133.6372009/01/143.7572009/01/153.7372009/01/163.8272009/01/193.9072009/01/203.8972009/01/213.8672009/01/223.8872009/01/233

35、.8472009/02/023.8472009/02/033.9472009/02/044.0772009/02/054.0572009/02/064.1772009/02/094.2472009/02/104.2872009/02/114.3972009/02/124.2872009/02/134.4072009/02/164.6472009/02/174.4772009/02/184.2472009/02/194.2572009/02/204.2972009/02/234.4372009/02/244.2172009/02/254.3572009/02/264.2172009/02/274

36、.1372009/03/024.1472009/03/034.0772009/03/044.3372009/03/054.4272009/03/064.3472009/03/094.5472009/03/104.5472009/03/114.4272009/03/124.3672009/03/134.3672009/03/164.4772009/03/174.5572009/03/184.517精彩文档实用标准文案2009/03/194.5472009/03/204.5372009/03/234.6172009/03/244.5872009/03/254.5072009/03/264.6672

37、009/03/274.6472009/03/304.6272009/03/314.6072009/04/014.6472009/04/024.7072009/04/034.8472009/04/074.7872009/04/084.5672009/04/094.5972009/04/104.6772009/04/134.7472009/04/144.7272009/04/154.7072009/04/164.8272009/04/174.7272009/04/204.8172009/04/214.7372009/04/224.6372009/04/234.5972009/04/244.5672

38、009/04/274.5272009/04/284.6172009/04/294.7672009/04/304.6772009/05/044.7972009/05/054.7872009/05/064.8372009/05/074.8172009/05/084.9972009/05/114.8972009/05/124.9772009/05/134.9472009/05/144.8372009/05/154.8872009/05/184.9772009/05/194.9872009/05/204.9472009/05/214.847精彩文档实用标准文案2009/05/224.8272009/0

39、5/254.8172009/05/264.7872009/05/274.9072009/06/014.9972009/06/024.9372009/06/035.1372009/06/045.0872009/06/054.9872009/06/085.1572009/06/095.3072009/06/105.4272009/06/115.4372009/06/125.2572009/06/155.5772009/06/165.4772009/06/175.4972009/06/185.6172009/06/195.6472009/06/225.7972009/06/235.9472009/0

40、6/245.8572009/06/255.8172009/06/265.8572009/06/305.7972009/07/015.8672009/07/025.8872009/07/035.8272009/07/066.1072009/07/076.0072009/07/085.9172009/07/096.0472009/07/106.1172009/07/135.9172009/07/145.9972009/07/156.0172009/07/166.2872009/07/176.2072009/07/206.3672009/07/216.2172009/07/226.2472009/0

41、7/236.2722009/07/246.2522009/07/276.362精彩文档实用标准文案2009/07/286.3022009/07/296.1522009/07/306.3622009/07/316.4522009/08/036.4322009/08/046.5922009/08/056.7622009/08/066.4722009/08/076.1922009/08/106.1322009/08/116.1422009/08/125.8122009/08/135.9122009/08/145.6222009/08/175.3322009/08/185.4122009/08/195

42、.1422009/08/205.3222009/08/215.3522009/08/245.3022009/08/255.0422009/08/265.0722009/08/275.1022009/08/285.0622009/08/314.7322009/09/014.8222009/09/025.0922009/09/035.1922009/09/045.1922009/09/075.4122009/09/085.4322009/09/095.5222009/09/105.5622009/09/115.7522009/09/145.7422009/09/155.8322009/09/165

43、.6322009/09/175.6722009/09/185.4522009/09/215.4822009/09/225.3722009/09/235.2622009/09/245.4822009/09/255.602精彩文档实用标准文案2009/09/285.4522009/09/295.5222009/09/305.5322009/10/095.7022009/10/125.6722009/10/135.7322009/10/145.7322009/10/155.8022009/10/165.7422009/10/195.8122009/10/206.0422009/10/216.0622

44、009/10/226.1722009/10/236.4122009/10/266.3922009/10/276.1322009/10/286.2822009/10/296.1822009/10/306.2022009/11/026.3422009/11/036.3222009/11/046.3022009/11/056.3322009/11/066.3822009/11/096.3622009/11/106.3422009/11/116.2922009/11/126.2922009/11/136.3522009/11/166.6022009/11/176.8122009/11/186.7922

45、009/11/196.7522009/11/206.9722009/11/236.9022009/11/246.5322009/11/256.5922009/11/266.3722009/11/276.2422009/11/306.3922009/12/016.4522009/12/026.5622009/12/036.5222009/12/047.182精彩文档实用标准文案2009/12/077.4222009/12/087.4622009/12/097.1922009/12/107.4222009/12/117.3522009/12/148.0922009/12/158.1522009/1

46、2/168.1322009/12/177.7022009/12/187.7022009/12/217.4922009/12/227.4422009/12/237.3922009/12/247.6022009/12/257.3922009/12/287.5222009/12/297.7422009/12/308.2022009/12/318.1422010/01/047.9822010/01/058.0822010/01/067.8522010/01/077.5822010/01/087.6522010/01/117.5722010/01/127.5922010/01/137.2022010/01/147.2122010/01/157.3322010/01/