金融市场发展的波动性的定量研究与实证分析  

Quantitative research and empirical analysis of volatility of financial market development

作　　者：李建辉[1] 李永新[1] 丁毅涛[1] 

机构地区：[1]西京学院理学院,西安710123

出　　处：《科技促进发展》2017年第12期1029-1035,共7页Science & Technology for Development

基　　金：国家自然科学基金项目(编号:11271297):测量值相关的稀疏信号可重构条件研究;负责人:李海洋;西京学院科研基金项目(编号:XJ170113):条件异方差模型及其在金融中的应用;负责人:李建辉

摘　　要：近年来,金融市场发展的波动性测度逐渐成为这一领域研究的热点问题,为了准确的描述金融市场发展的变化规律,建立了带有GJR-GARCH波动率的资产定价模型,对金融市场波动率的行为和性态以及波动率的影响因素进进行了定量研究。同时选取国内4家银行的股票价格历史数据作为样本,主要对其对数收益率及波动率进行了计算和分析,对理论结果的合理性进行了验证。结果将作为人们深入了解金融市场及合理投资的重要参考。In recent years, the measurement of volatility in the development of financial markets has gradually become a hot spot in this field. In order to describe accurately the law of development of financial market. The asset pricing model with GJR-GARCH volatility is established. The behavior and characteristics of volatility in financial markets and the influencing factors of volatility are quantitatively studied. In addition, the stock price historical data of four banks in China are taken as samples data, and the logarithmic return and volatility are calculated and analyzed. Furthermore, the rationality of the theoretical results is verified. The result will be an important reference for people to understand the financial market and rational investment.

关 键 词：波动率 红利 平价期权 GJR-GARCH模型 

分 类 号：F224[经济管理—国民经济] F832.51