中信银行股市风险波动分析

1、中信银行行股市风风险波动动分析 股票的的价格时时刻处于于波动之之中，因因而未来来的一个个投资期期的收益益率rtt是不确确定的，其本质质上是一一个随机机变量，具有一一定的概概率分布布。在已已知现在在及以前前信息的的情况下下，它服服从一定定的条件件概率分分布，其其不确定定性可以以用条件件异方差差来度量量。考虑虑若干投投资期，设ptt表示某某种股票票第t个个投资期期的收盘盘价，相相应的对对数收益益率为rrt=loog(ppt)-llog(pt-1)。 下下面对中中信银行行的收益益序列建建立GAARCHH模型，估计其其方差序序列并分分析动态态风险波波动特征征。样本本数据为为20007年44月277日至

2、20111年66月222日，共共10000个交交易日。以10000个个交易日日的日收收盘数据据为基本本的分析析数据，数据来来源于广广发证券券股票交交易软件件，具体体数据如如附表11。下面面的相关关估计结结果由EEvieews55.0得得出。回归拟合合由前面的的分析可可得，研研究金融融资产收收益率时时通常使使用对数数收益率率，对原原数据经经过处理理并作对对数收益益率图、自相关关图。根根据对数数收益率率时序图图和单位位根检验验可以看看出，该该序列是是平稳的的。由自自相关图图中的QQ-Sttat统统计量检检验得出出，序列列不是纯纯随机的的，尝试试构造AAR（22）模型型， AAR（22）模型型为yt

3、=-0.00006664-0.00666621 xt-1-0.00259976xxt-22+ vt对数收益益率时序序图 ADF检检验结果果t-SttatiistiicPrrob.*Augmmentted Dicckeyy-Fuulleer ttestt sttatiistiic-34.4044010.000000Testt crritiicall vaaluees:1% lleveel-3.443666835% lleveel-2.8864222510% levvel-2.55682251对数收益益率自相相关图残差自相相关性检检验由残差序序列的自自相关图图中Q-Staat统计计量得，滞后115

4、阶的的P值都都大于00.055，接受受原假设设，说明明残差序序列vvt为纯随随机序列列。三、异方方差自相相关性检检验对残差序序列利用用LM统统计量检检验看是是否存在在异方差差性，检检验结果果如表11。从表表中可以以看出延延迟6阶阶的检验验结果表表明残差差序列具具有显著著的异方方差性。假设异异方差函函数为hht，则有vt(ht)0.55N(0,11)。表1VariiablleCoeffficcienntStd. Errrorrt-SttatiistiicProbb.C0.000037796.933E-0055.466507730.00000RESIID22(-11)0.066889900.033

5、199902.155347710.03315RESIID22(-22)0.033972250.033206621.233900000.01156RESIID22(-33)0.100214400.033206663.188533370.00015RESIID22(-44)0.099394430.033220042.911712210.00036RESIID22(-55)0.066315520.033225561.955786650.05505RESIID22(-66)0.077315570.033221182.277064470.02234RESIID22(-77)-0.00319910.033

6、21222-0.999344210.32208RESIID22(-88)0.033895500.033198891.211759980.22237RESIID22(-99)0.000359910.033197790.111230070.91106RESIID22(-110)0.033237780.033150011.022785500.30043四、ARRCH模模型阶数数估计由于LMM统计量量显示出出残差序序列具有有异方差差长期自自相关性性，即存存在较高高阶ARRCH效效应，对对该收益益率残差差序列拟拟合GAARCHH（1，1）模模型及其其他一些些高阶GGARCCH模型型，表22列出了了残差序

7、序列拟合合的各阶阶GARRCH模模型的AAIC值值。表2 GGARCCH模型型定阶GARCCH（pp，q）AIC（1，11）-4.44662219（1，22）-4.44642253（2，11）-4.44642219（2，22）-4.44597765从表2中中可以看看出，残残差序列列在AIIC准则则下的适适合模型型阶数为为GARRCH（1，11）。五、参数数估计对模型的的参数进进行极大大似然估估计，参参数估计计值如表表3，可可得残差差序列的的GARRCH（1，11）模型型为yt=-0.00006664-0.00666621 xt-1-0.00259976xxt-22+ vtvt=(ht)0.55

8、etht=00.000008848+0.99571116hht-11+0.05773755v2t-11参数显著著性检验验显示，除自回回归模型型中的参参数外，其他参参数均显显著。需需要说明明的是自自回归模模型中的的参数不不显著对对模型没没有影响响，目的的是为得得到残差差序列。表3 CoeffficcienntStd. Errrorrz-SttatiistiicProbb.C-0.000066640.00007883-0.884766280.39966Y(-11)-0.006666210.03334772-1.999033690.04466Y(-22)-0.002599760.03322228-0

9、.880600050.02202Variiancce EEquaatioonC8.488E-0062.444E-0063.466964460.00005RESIID(-1)2*(RESSID(-1)0)0.055737750.000943346.088181120.00000GARCCH(-1)0.955711160.00059669160.358820.00000R-sqquarred0.76683Meaan ddepeendeent varr-0.00007785Adjuusteed RR-sqquarred0.26676S.DD. ddepeendeent varr0.02273558S

10、.E. off reegreessiion0.02273222Akaaikee innfo criiterrionn-4.44662219Sum squuareed rresiid0.73397663Schhwarrz ccritteriion-4.44367702Log likkeliihoood22322.4110F-sstattisttic1.53345111Durbbin-Wattsonn sttat2.02206114Proob(FF-sttatiistiic)0.17763229六、模型型的有效效性检验验VariiablleCoeffficcienntStd. Errrorrt-S

11、ttatiistiicProbb.C0.744672220.111004496.788532260.00000STD_RESSID2(-1)-0.001022300.03320777-0.331899310.74498STD_RESSID2(-2)-0.000255160.03320777-0.007844370.93375STD_RESSID2(-3)0.055851180.033207731.822449930.06684STD_RESSID2(-4)0.066840050.033212252.122934430.13335STD_RESSID2(-5)0.055838850.033217

12、791.811439980.06699STD_RESSID2(-6)0.100047710.033219973.122052200.07719STD_RESSID2(-7)-0.004477270.03321997-1.338911920.16651STD_RESSID2(-8)0.033623360.033217761.122618850.26604STD_RESSID2(-9)0.000415520.033212210.122925520.89972STD_RESSID2(-10)-0.000599710.03320668-0.118622070.85523STD_RESSID2(-11)

13、-0.000677330.03320669-0.220999470.83338STD_RESSID2(-12)-0.000366350.03320449-0.111344280.90097利用估计计的条件件异方差差序列hht，得到到新的残残差序列列，由自自相关图图中的QQ-Sttat统统计量滞滞后155阶的PP值都大大于0.05，拒绝原原假设，表明新新的残差差序列为为纯随机机序列。通过LLM统计计量检验验的P值值可以看看出，110阶统统计量的的检验结结果都表表明新的的残差序序列不存存在异方方差性，由此说说明模型型是有效效的。七、结论论通过建立立的GAARCHH（1，1）模模型的参参数可以以看出

14、中中信银行行的对数数收益率率序列的的记忆性性是比较较强的，还有由由于是正正相关关关系，说说明中信信银行的的股票是是高风险险高收益益的，适适合于风风险偏好好的投资资者投资资。由条条件异方方差估计计图可以以得出，条件异异方差序序列是随随着时间间波动的的，而且且波动幅幅度比较较大，也也就是说说风险是是随时间间变化的的，具有有明显的的时变性性。从中中信银行行收益率率序列的的条件异异方差序序列来看看，其条条件异方方差序列列的最大大值和最最小值相相差较大大，说明明我国股股市风险险波动范范围较大大。另外外一方面面也反映映出风险险具有一一种阶段段性，有有一段时时间风险险较大，而有一一段时间间风险较较小，股股价

15、的风风险波动动具有簇簇集性，股票价价格是随随风险波波动的。条件异方方差图附表1 中信银行行（60018999）收收盘价数数据20077/044/27711.114320077/044/30010.111320077/055/08810.223320077/055/09911.223320077/055/10011.223320077/055/11111.449320077/055/14411.334320077/055/15510.667320077/055/16610.774320077/055/17710.778320077/055/18810.558320077/055/21110.44

16、1320077/055/22210.440320077/055/23310.550320077/055/24410.663320077/055/25510.446320077/055/28810.558320077/055/29910.669320077/055/3009.888320077/055/31110.443320077/066/01110.226320077/066/0449.211320077/066/0559.500320077/066/0669.422320077/066/0779.522320077/066/08810.000320077/066/1119.95532007

17、7/066/1229.799320077/066/13310.007320077/066/1449.777320077/066/1559.822320077/066/18810.001320077/066/1999.888320077/066/2009.588320077/066/2119.722320077/066/2229.433320077/066/2559.211320077/066/2669.222320077/066/2779.511320077/066/2889.133320077/066/2998.977320077/077/0228.955320077/077/0339.08

18、8320077/077/0448.866320077/077/0558.288320077/077/0668.644320077/077/0998.711320077/077/1008.811320077/077/1118.822320077/077/1228.911320077/077/1338.822320077/077/1668.822320077/077/1779.177320077/077/1889.288320077/077/1999.188320077/077/2009.555320077/077/2339.788320077/077/2449.711320077/077/255

19、10.770320077/077/26610.772320077/077/27710.557320077/077/30010.558320077/077/31110.226320077/088/0119.811320077/088/02210.005320077/088/03310.446320077/088/06610.330320077/088/07710.441320077/088/08810.666320077/088/09910.557320077/088/10010.771320077/088/13311.119320077/088/14411.002320077/088/1551

20、1.110320077/088/16611.115320077/088/17710.668320077/088/21111.119320077/088/22211.112320077/088/23310.997320077/088/24411.334320077/088/27712.334320077/088/28812.228320077/088/29911.773320077/088/30011.998320077/088/31111.888320077/099/03311.889320077/099/04411.884320077/099/05511.777320077/099/0661

21、2.000320077/099/07711.661320077/099/10011.996320077/099/11111.004320077/099/12210.997320077/099/13311.113320077/099/14411.114320077/099/17711.226320077/099/18811.225320077/099/19910.996320077/099/20010.995320077/099/21110.882320077/099/24410.888320077/099/25510.660320077/099/26610.448320077/099/2771

22、0.552320077/099/28810.882320077/100/08811.002320077/100/09910.997320077/100/10011.005320077/100/11111.551320077/100/12211.006320077/100/15511.113320077/100/16611.445320077/100/17711.118320077/100/18810.773320077/100/19910.661320077/100/22210.224320077/100/23310.554320077/100/24410.332320077/100/2559

23、.811320077/100/26610.330320077/100/29910.665320077/100/30010.668320077/100/31111.441320077/111/01111.330320077/111/02211.555320077/111/05511.337320077/111/06610.991320077/111/07711.221320077/111/08810.557320077/111/09910.448320077/111/12210.221320077/111/13310.110320077/111/14410.447320077/111/15510

24、.335320077/111/16610.119320077/111/19910.227320077/111/20010.332320077/111/21110.111320077/111/2229.777320077/111/2339.966320077/111/2669.799320077/111/2779.799320077/111/2889.611320077/111/2999.955320077/111/3009.788320077/122/0339.888320077/122/0449.922320077/122/05510.006320077/122/06610.00232007

25、7/122/07710.004320077/122/10010.007320077/122/11110.009320077/122/1229.900320077/122/1339.766320077/122/1449.822320077/122/1779.488320077/122/1889.511320077/122/1999.799320077/122/2009.866320077/122/2119.877320077/122/2449.966320077/122/2559.844320077/122/2669.877320077/122/27710.001320077/122/2889.

26、922320088/011/02210.007320088/011/03310.007320088/011/04410.111320088/011/07710.116320088/011/08810.119320088/011/09910.116320088/011/10010.111320088/011/11110.442320088/011/14410.337320088/011/15510.449320088/011/16610.114320088/011/1779.977320088/011/18810.001320088/011/2119.533320088/011/2338.933

27、320088/011/2448.855320088/011/2559.022320088/011/2888.299320088/011/2998.677320088/011/3008.599320088/011/3118.555320088/022/0118.555320088/022/0449.244320088/022/0559.144320088/022/1338.888320088/022/1448.944320088/022/1558.766320088/022/1888.844320088/022/1998.977320088/022/2008.700320088/022/2118

28、.644320088/022/2228.399320088/022/2558.300320088/022/2668.500320088/022/2778.644320088/022/2888.544320088/022/2998.622320088/033/0338.688320088/033/0448.433320088/033/0558.400320088/033/0668.499320088/033/0778.411320088/033/1008.188320088/033/1118.166320088/033/1227.899320088/033/1337.655320088/033/

29、1447.666320088/033/1777.388320088/033/1886.822320088/033/1996.999320088/033/2007.133320088/033/2117.088320088/033/2446.833320088/033/2556.944320088/033/2667.011320088/033/2776.622320088/033/2887.000320088/033/3116.888320088/044/0116.666320088/044/0226.966320088/044/0337.111320088/044/0777.333320088/

30、044/0887.277320088/044/0996.866320088/044/1006.900320088/044/1116.977320088/044/1446.611320088/044/1556.666320088/044/1666.488320088/044/1776.099320088/044/1885.822320088/044/2115.911320088/044/2226.111320088/044/2336.277320088/044/2446.922320088/044/2556.699320088/044/2886.588320088/044/2996.588320

31、088/044/3006.966320088/055/0557.011320088/055/0666.922320088/055/0776.599320088/055/0886.677320088/055/0996.544320088/055/1226.566320088/055/1336.366320088/055/1446.688320088/055/1556.599320088/055/1666.566320088/055/1996.511320088/055/2006.155320088/055/2116.211320088/055/2226.133320088/055/2336.15

32、5320088/055/2666.011320088/055/2776.077320088/055/2886.222320088/055/2996.077320088/055/3006.144320088/066/0226.266320088/066/0336.144320088/066/0446.088320088/066/0556.099320088/066/0666.044320088/066/1005.455320088/066/1115.466320088/066/1335.199320088/066/1665.177320088/066/1775.055320088/066/188

33、5.311320088/066/1994.888320088/066/2005.000320088/066/2334.977320088/066/2445.133320088/066/2555.300720088/066/2665.222720088/066/2774.922720088/066/3004.955720088/077/0114.822720088/077/0224.877720088/077/0334.988720088/077/0445.055720088/077/0775.433720088/077/0885.366720088/077/0995.599720088/077

34、/1005.511720088/077/1115.555720088/077/1445.666720088/077/1555.377720088/077/1665.111720088/077/1775.133720088/077/1885.388720088/077/2115.500720088/077/2225.422720088/077/2335.499720088/077/2445.600720088/077/2555.477720088/077/2885.544720088/077/2995.388720088/077/3005.377720088/077/3115.222720088

35、/088/0115.400720088/088/0445.300720088/088/0555.277720088/088/0665.399720088/088/0775.399720088/088/0885.044720088/088/1114.822720088/088/1224.833720088/088/1334.877720088/088/1444.866720088/088/1555.000720088/088/1884.788720088/088/1994.855720088/088/2005.266720088/088/2115.188720088/088/2225.09972

36、0088/088/2555.177720088/088/2665.399720088/088/2775.422720088/088/2885.388720088/088/2995.500720088/099/0115.211720088/099/0225.188720088/099/0335.022720088/099/0445.099720088/099/0554.911720088/099/0884.966720088/099/0995.033720088/099/1005.088720088/099/1114.866720088/099/1224.866720088/099/1664.3

37、66720088/099/1774.022720088/099/1884.288720088/099/1994.733720088/099/2225.222720088/099/2334.866720088/099/2444.855720088/099/2554.911720088/099/2664.899720088/100/0664.433720088/100/0774.477720088/100/0884.266720088/100/0994.222720088/100/1004.088720088/100/1334.422720088/100/1444.244720088/100/15

38、54.366720088/100/1664.111720088/100/1774.199720088/100/2004.366720088/100/2114.277720088/100/2224.155720088/100/2334.011720088/100/2443.911720088/100/2773.622720088/100/2883.822720088/100/2993.677720088/100/3003.755720088/100/3113.711720088/111/0333.733720088/111/0443.766720088/111/0553.900720088/11

39、1/0663.755720088/111/0773.811720088/111/1004.055720088/111/1113.933720088/111/1223.977720088/111/1334.099720088/111/1444.233720088/111/1774.322720088/111/1883.977720088/111/1994.244720088/111/2004.133720088/111/2114.100720088/111/2443.977720088/111/2553.977720088/111/2664.000720088/111/2774.01172008

40、8/111/2883.833720088/122/0113.877720088/122/0223.833720088/122/0333.977720088/122/0444.055720088/122/0554.077720088/122/0884.244720088/122/0994.100720088/122/1004.277720088/122/1114.100720088/122/1223.944720088/122/1553.977720088/122/1663.911720088/122/1773.966720088/122/1884.100720088/122/1994.0667

41、20088/122/2223.944720088/122/2333.833720088/122/2443.788720088/122/2553.766720088/122/2663.766720088/122/3003.711720088/122/3113.688720099/011/0553.788720099/011/0663.866720099/011/0773.800720099/011/0883.666720099/011/0993.711720099/011/1223.700720099/011/1333.633720099/011/1443.755720099/011/1553.

42、733720099/011/1663.822720099/011/1993.900720099/011/2003.899720099/011/2113.866720099/011/2223.888720099/011/2333.844720099/022/0223.844720099/022/0333.944720099/022/0444.077720099/022/0554.055720099/022/0664.177720099/022/0994.244720099/022/1004.288720099/022/1114.399720099/022/1224.288720099/022/1

43、334.400720099/022/1664.644720099/022/1774.477720099/022/1884.244720099/022/1994.255720099/022/2004.299720099/022/2334.433720099/022/2444.211720099/022/2554.355720099/022/2664.211720099/022/2774.133720099/033/0224.144720099/033/0334.077720099/033/0444.333720099/033/0554.422720099/033/0664.344720099/0

44、33/0994.544720099/033/1004.544720099/033/1114.422720099/033/1224.366720099/033/1334.366720099/033/1664.477720099/033/1774.555720099/033/1884.511720099/033/1994.544720099/033/2004.533720099/033/2334.611720099/033/2444.588720099/033/2554.500720099/033/2664.666720099/033/2774.644720099/033/3004.6227200

45、99/033/3114.600720099/044/0114.644720099/044/0224.700720099/044/0334.844720099/044/0774.788720099/044/0884.566720099/044/0994.599720099/044/1004.677720099/044/1334.744720099/044/1444.722720099/044/1554.700720099/044/1664.822720099/044/1774.722720099/044/2004.811720099/044/2114.733720099/044/2224.633

46、720099/044/2334.599720099/044/2444.566720099/044/2774.522720099/044/2884.611720099/044/2994.766720099/044/3004.677720099/055/0444.799720099/055/0554.788720099/055/0664.833720099/055/0774.811720099/055/0884.999720099/055/1114.899720099/055/1224.977720099/055/1334.944720099/055/1444.833720099/055/1554

47、.888720099/055/1884.977720099/055/1994.988720099/055/2004.944720099/055/2114.844720099/055/2224.822720099/055/2554.811720099/055/2664.788720099/055/2774.900720099/066/0114.999720099/066/0224.933720099/066/0335.133720099/066/0445.088720099/066/0554.988720099/066/0885.155720099/066/0995.300720099/066/

48、1005.422720099/066/1115.433720099/066/1225.255720099/066/1555.577720099/066/1665.477720099/066/1775.499720099/066/1885.611720099/066/1995.644720099/066/2225.799720099/066/2335.944720099/066/2445.855720099/066/2555.811720099/066/2665.855720099/066/3005.799720099/077/0115.866720099/077/0225.888720099/

49、077/0335.822720099/077/0666.100720099/077/0776.000720099/077/0885.911720099/077/0996.044720099/077/1006.111720099/077/1335.911720099/077/1445.999720099/077/1556.011720099/077/1666.288720099/077/1776.200720099/077/2006.366720099/077/2116.211720099/077/2226.244720099/077/2336.277220099/077/2446.255220

50、099/077/2776.366220099/077/2886.300220099/077/2996.155220099/077/3006.366220099/077/3116.455220099/088/0336.433220099/088/0446.599220099/088/0556.766220099/088/0666.477220099/088/0776.199220099/088/1006.133220099/088/1116.144220099/088/1225.811220099/088/1335.911220099/088/1445.622220099/088/1775.33

51、3220099/088/1885.411220099/088/1995.144220099/088/2005.322220099/088/2115.355220099/088/2445.300220099/088/2555.044220099/088/2665.077220099/088/2775.100220099/088/2885.066220099/088/3114.733220099/099/0114.822220099/099/0225.099220099/099/0335.199220099/099/0445.199220099/099/0775.411220099/099/088

52、5.433220099/099/0995.522220099/099/1005.566220099/099/1115.755220099/099/1445.744220099/099/1555.833220099/099/1665.633220099/099/1775.677220099/099/1885.455220099/099/2115.488220099/099/2225.377220099/099/2335.266220099/099/2445.488220099/099/2555.600220099/099/2885.455220099/099/2995.522220099/099

53、/3005.533220099/100/0995.700220099/100/1225.677220099/100/1335.733220099/100/1445.733220099/100/1555.800220099/100/1665.744220099/100/1995.811220099/100/2006.044220099/100/2116.066220099/100/2226.177220099/100/2336.411220099/100/2666.399220099/100/2776.133220099/100/2886.288220099/100/2996.188220099

54、/100/3006.200220099/111/0226.344220099/111/0336.322220099/111/0446.300220099/111/0556.333220099/111/0666.388220099/111/0996.366220099/111/1006.344220099/111/1116.299220099/111/1226.299220099/111/1336.355220099/111/1666.600220099/111/1776.811220099/111/1886.799220099/111/1996.755220099/111/2006.97722

55、0099/111/2336.900220099/111/2446.533220099/111/2556.599220099/111/2666.377220099/111/2776.244220099/111/3006.399220099/122/0116.455220099/122/0226.566220099/122/0336.522220099/122/0447.188220099/122/0777.422220099/122/0887.466220099/122/0997.199220099/122/1007.422220099/122/1117.355220099/122/1448.0

56、99220099/122/1558.155220099/122/1668.133220099/122/1777.700220099/122/1887.700220099/122/2117.499220099/122/2227.444220099/122/2337.399220099/122/2447.600220099/122/2557.399220099/122/2887.522220099/122/2997.744220099/122/3008.200220099/122/3118.144220100/011/0447.988220100/011/0558.088220100/011/06

57、67.855220100/011/0777.588220100/011/0887.655220100/011/1117.577220100/011/1227.599220100/011/1337.200220100/011/1447.211220100/011/1557.333220100/011/1887.300220100/011/1997.411220100/011/2007.122220100/011/2117.255220100/011/2227.500220100/011/2557.277220100/011/2667.400220100/011/2777.166220100/01

58、1/2886.933220100/011/2996.844220100/022/0116.611220100/022/0226.600220100/022/0336.877220100/022/0446.788220100/022/0886.600220100/022/0996.644220100/022/1006.722220100/022/1116.711220100/022/1226.855220100/022/2226.733220100/022/2336.644220100/022/2446.766220100/022/2556.899220100/022/2666.86622010

59、0/033/0117.033220100/033/0227.055220100/033/0337.044220100/033/0446.766220100/033/0556.755220100/033/0886.811220100/033/0997.044220100/033/1007.011220100/033/1117.099220100/033/1226.955220100/033/1556.811220100/033/1666.899220100/033/1777.044220100/033/1887.000220100/033/1997.033220100/033/2227.1002

60、20100/033/2337.000220100/033/2447.022220100/033/2556.855220100/033/2667.055220100/033/2997.311220100/033/3007.388220100/033/3117.266220100/044/0117.311220100/044/0227.266220100/044/0667.255220100/044/0777.188220100/044/0887.100220100/044/0997.133220100/044/1226.988220100/044/1337.199220100/044/1447.