中信银行股市风险评估波动解析

中信银行股市风险评估波动解析中信银行股市风险评估波动解析中信银行股市风险评估波动解析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。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=-0.000664-0.066621xt-1-0.025976xt-2+vt对数收益率时序图ADF检验结果t-Statistic

Prob.*AugmentedDickey-Fullerteststatistic-34.40401

0.0000Testcriticalvalues:1%level-3.4366835%level-2.86422510%level-2.568251对数收益率自相关图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)0.5～N(0,1)。表1VariableCoefficientStd.Errort-StatisticProb.

C0.0003796.93E-055.4650730.0000RESID^2(-1)0.0688900.0319902.1534710.0315RESID^2(-2)0.0397250.0320621.2390000.0156RESID^2(-3)0.1021400.0320663.1853370.0015RESID^2(-4)0.0939430.0322042.9171210.0036RESID^2(-5)0.0631520.0322561.9578650.0505RESID^2(-6)0.0731570.0322182.2706470.0234RESID^2(-7)-0.031910.032122-0.9934210.3208RESID^2(-8)0.0389500.0319891.2175980.2237RESID^2(-9)0.0035910.0319790.1123070.9106RESID^2(-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2GARCH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=-0.000664-0.066621xt-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3CoefficientStd.Errorz-StatisticProb.

C-0.0006640.000783-0.8476280.3966Y(-1)-0.0666210.033472-1.9903690.0466Y(-2)-0.0259760.032228-0.8060050.0202VarianceEquationC8.48E-062.44E-063.4696460.0005RESID(-1)^2*(RESID(-1)<0)0.0573750.0094346.0818120.0000GARCH(-1)0.9571160.005969160.35820.0000R-squared0.7683

Meandependentvar-0.000785AdjustedR-squared0.2676

S.D.dependentvar0.027358S.E.ofregression0.027322

Akaikeinfocriterion-4.466219Sumsquaredresid0.739763

Schwarzcriterion-4.436702Loglikelihood2232.410

F-statistic1.534511Durbin-Watsonstat2.020614

Prob(F-statistic)0.176329六、模型的有效性检验VariableCoefficientStd.Errort-StatisticProb.

C0.7467220.1100496.7853260.0000STD_RESID^2(-1)-0.0102300.032077-0.3189310.7498STD_RESID^2(-2)-0.0025160.032077-0.0784370.9375STD_RESID^2(-3)0.0585180.0320731.8244930.0684STD_RESID^2(-4)0.0684050.0321252.1293430.1335STD_RESID^2(-5)0.0583850.0321791.8143980.0699STD_RESID^2(-6)0.1004710.0321973.1205200.0719STD_RESID^2(-7)-0.0447270.032197-1.3891920.1651STD_RESID^2(-8)0.0362360.0321761.1261850.2604STD_RESID^2(-9)0.0041520.0321210.1292520.8972STD_RESID^2(-10)-0.0059710.032068-0.1862070.8523STD_RESID^2(-11)-0.0067330.032069-0.2099470.8338STD_RESID^2(-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2007/04/2711.1432007/04/3010.1132007/05/0810.2332007/05/0911.2332007/05/1011.2332007/05/1111.4932007/05/1411.3432007/05/1510.6732007/05/1610.7432007/05/1710.7832007/05/1810.5832007/05/2110.4132007/05/2210.4032007/05/2310.5032007/05/2410.6332007/05/2510.4632007/05/2810.5832007/05/2910.6932007/05/309.8832007/05/3110.4332007/06/0110.2632007/06/049.2132007/06/059.5032007/06/069.4232007/06/079.5232007/06/0810.0032007/06/119.9532007/06/129.7932007/06/1310.0732007/06/149.7732007/06/159.8232007/06/1810.0132007/06/199.8832007/06/209.5832007/06/219.7232007/06/229.4332007/06/259.2132007/06/269.2232007/06/279.5132007/06/289.1332007/06/298.9732007/07/028.9532007/07/039.0832007/07/048.8632007/07/058.2832007/07/068.6432007/07/098.7132007/07/108.8132007/07/118.8232007/07/128.9132007/07/138.8232007/07/168.8232007/07/179.1732007/07/189.2832007/07/199.1832007/07/209.5532007/07/239.7832007/07/249.7132007/07/2510.7032007/07/2610.7232007/07/2710.5732007/07/3010.5832007/07/3110.2632007/08/019.8132007/08/0210.0532007/08/0310.4632007/08/0610.3032007/08/0710.4132007/08/0810.6632007/08/0910.5732007/08/1010.7132007/08/1311.1932007/08/1411.0232007/08/1511.1032007/08/1611.1532007/08/1710.6832007/08/2111.1932007/08/2211.1232007/08/2310.9732007/08/2411.3432007/08/2712.3432007/08/2812.2832007/08/2911.7332007/08/3011.9832007/08/3111.8832007/09/0311.8932007/09/0411.8432007/09/0511.7732007/09/0612.0032007/09/0711.6132007/09/1011.9632007/09/1111.0432007/09/1210.9732007/09/1311.1332007/09/1411.1432007/09/1711.2632007/09/1811.2532007/09/1910.9632007/09/2010.9532007/09/2110.8232007/09/2410.8832007/09/2510.6032007/09/2610.4832007/09/2710.5232007/09/2810.8232007/10/0811.0232007/10/0910.9732007/10/1011.0532007/10/1111.5132007/10/1211.0632007/10/1511.1332007/10/1611.4532007/10/1711.1832007/10/1810.7332007/10/1910.6132007/10/2210.2432007/10/2310.5432007/10/2410.3232007/10/259.8132007/10/2610.3032007/10/2910.6532007/10/3010.6832007/10/3111.4132007/11/0111.3032007/11/0211.5532007/11/0511.3732007/11/0610.9132007/11/0711.2132007/11/0810.5732007/11/0910.4832007/11/1210.2132007/11/1310.1032007/11/1410.4732007/11/1510.3532007/11/1610.1932007/11/1910.2732007/11/2010.3232007/11/2110.1132007/11/229.7732007/11/239.9632007/11/269.7932007/11/279.7932007/11/289.6132007/11/299.9532007/11/309.7832007/12/039.8832007/12/049.9232007/12/0510.0632007/12/0610.0232007/12/0710.0432007/12/1010.0732007/12/1110.0932007/12/129.9032007/12/139.7632007/12/149.8232007/12/179.4832007/12/189.5132007/12/199.7932007/12/209.8632007/12/219.8732007/12/249.9632007/12/259.8432007/12/269.8732007/12/2710.0132007/12/289.9232008/01/0210.0732008/01/0310.0732008/01/0410.1132008/01/0710.1632008/01/0810.1932008/01/0910.1632008/01/1010.1132008/01/1110.4232008/01/1410.3732008/01/1510.4932008/01/1610.1432008/01/179.9732008/01/1810.0132008/01/219.5332008/01/238.9332008/01/248.8532008/01/259.0232008/01/288.2932008/01/298.6732008/01/308.5932008/01/318.5532008/02/018.5532008/02/049.2432008/02/059.1432008/02/138.8832008/02/148.9432008/02/158.7632008/02/188.8432008/02/198.9732008/02/208.7032008/02/218.6432008/02/228.3932008/02/258.3032008/02/268.5032008/02/278.6432008/02/288.5432008/02/298.6232008/03/038.6832008/03/048.4332008/03/058.4032008/03/068.4932008/03/078.4132008/03/108.1832008/03/118.1632008/03/127.8932008/03/137.6532008/03/147.6632008/03/177.3832008/03/186.8232008/03/196.9932008/03/207.1332008/03/217.0832008/03/246.8332008/03/256.9432008/03/267.0132008/03/276.6232008/03/287.0032008/03/316.8832008/04/016.6632008/04/026.9632008/04/037.1132008/04/077.3332008/04/087.2732008/04/096.8632008/04/106.9032008/04/116.9732008/04/146.6132008/04/156.6632008/04/166.4832008/04/176.0932008/04/185.8232008/04/215.9132008/04/226.1132008/04/236.2732008/04/246.9232008/04/256.6932008/04/286.5832008/04/296.5832008/04/306.9632008/05/057.0132008/05/066.9232008/05/076.5932008/05/086.6732008/05/096.5432008/05/126.5632008/05/136.3632008/05/146.6832008/05/156.5932008/05/166.5632008/05/196.5132008/05/206.1532008/05/216.213200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