1、 毕 业 论 文（设计） 题 目：基于双 GARCH 的股票风险预测 基于双 GARCH 的股票风险预测 I 摘要摘要 1982 年，Engle 教授提出 ARCH 模型，给计量经济学带来了新的建模 方法。自那以后，一系列以 ARCH 为基础的模型相继被建立。资本市场的 波动被看成是资产面临的风险。投资者最为关心资产在未来面临的风险大 小，从而几乎每个投资者都想尽办法去预测资产的价格走势和资产未来的 风险。本文旨在建立一个能够帮助投资者预测股票波动变化的模型。本文 中的模型以被广泛应用于金融领域的 ARCH-M 模型为基础。 独特之处在于 引入了市场波动作为资产波动方程的一个解释变量，从而将单
2、项资产波动 变化过程与市场波动变化过程联系起来。在模型中，舍弃了正态分布假设， 以更一般化的“广义误差分布”取而代之。另一个创新之处是，本文提出 了一种全新的密集计算法用以估计方程参数，将复杂的优化过程转换成高 密度的计算机运算。本文最后还选择了一个实例用以对新模型的可行性和 预测能力进行验证。 关键关键词词：ARCH 模型 广义误差分布 密集计算法 MonteCarlo 模拟 基于双 GARCH 的股票风险预测 II Abstract Since professor Engle put forward the ARCH model in 1982, which refreshed the m
3、odeling method in econometric, a series of models based on the ARCH model has been established. The volatility in capital market has always been considered to be the risk that the asset might take, which is what the investors concern most. Therefore, hardly any investors do not make effort to predic
4、ate the price trend of their asset and the future risk their asset might take. This thesis aims to build such a model so as to assist the investors to predicate the volatility of their assets. Based on the widely used ARCH model in financial area, the new model is characterized by having introduced the market variable as an explanatory variable in the asset volatility formula, thus connecting the changing process of single asset volatility with that of the market volatility. In addition, the
