时间序列之GARCH模型的matlab应用__大豆期货收盘价预测

北京工商大学本科生毕业论文（设计）1编号：毕业论文（设计）题目GARCH模型的应用——大豆期货收盘价预测院（系）**学院专业**系学生姓名成绩指导教师（职称）2013年5月北京工商大学本科生毕业论文（设计）2诚信声明本人郑重声明：所呈交的毕业设计（论文）是我个人在导师指导下，由我本人独立完成。有关观点、方法、数据和文献等的引用已在文中指出，并与参考文献相对应。我承诺，论文中的所有内容均真实、可信。如在文中涉及到抄袭或剽窃行为，本人愿承担由此而造成的一切后果及责任。毕业论文（设计）作者签名：签名日期：年月日北京工商大学本科生毕业论文（设计）3摘要近年来，我国综合国力和经济水平得到飞速提高，国内金融市场也发展完善起来，并且国内金融市场对外开放程度和依存度不断提高。因此，国内期货市场出现随之出现较大波动，市场风险不断加大。粮食商品期货也在其中，价格波动已成为粮食生产所面临的主要风险之一。本文通过GARCH模型建模、拟合、参数估计、预测，以我国大豆期货为研究对象，对我国粮食期货市场相关品种的价格信息进行深入细致的研究。通过本研究的开展，对大豆期货收盘价的预测，从而对投资做出判断。关键词：大豆期货；异方差性；GARCH模型北京工商大学本科生毕业论文（设计）4AbstractInrecentyears,China'scomprehensivenationalstrengthandeconomiclevelhasbeenrapidlyimproved,andthedomesticfinancialmarketisdevelopingmeanwhileit’sdegreeofopennessanddependencyareConstantlyimproving.Thus,thedomesticfuturesmarketappearscomparativelylargefluctuation,marketriskisincreasingcontinuously。IncludedtheFoodcommodityfutures,thepricefluctuationhavebecomeoneofthemajorrisksfacingfoodproduction.Inthispaper,GARCHmodeling,fitting,parameterestimation,prediction,inorderforthestudyofcornfuturesonChina'sgrainfuturesmarketpricinginformationrelatedspecies-depthandmeticulousresearch。Throughthisstudy,andcarriedoutonfoodfuturesclosingpriceexpectations,soastomakingajudgmentfortheinvestment.KeyWords:Cornfutures;heteroscedasticity;GARCHmodel北京工商大学本科生毕业论文（设计）5题目GARCH模型的应用——大豆期货收盘价预测..........................................................1摘要.............................................................................................................................................3Abstract.......................................................................................................................................4第一章绪论...............................................................................................................................61.1课题背景.......................................................................................................................61.2选题的目的和意义.......................................................................................................91.2.1研究目的............................................................................................................91.2.2研究意义............................................................................................................91.3研究现状.....................................................................................................................101.3.1GARCH模型研究方法....................................................................................10第二章GARCH模型简介......................................................................................................132.1GARCH模型...............................................................................................................132.1.1GARCH模型的参数估计.......................................................................................132.1.1.1极大似然估计..............................................................................................132.1.1.2最小二乘估计.............................................................................................142.1.2模型检验.................................................................................................................142.1.2.1条件异方差性检验.....................................................................................152.1.2.2GARCH模型阶数检验..................................................................................162.1.3GARCH模型的应用...................................................................................................162.1.3.1在(自)回归分析中的应用..........................................................................162.1.3.2在风险预测中的应用.................................................................................17第三章国际金融期货市场投资风险评价的相关理论的介绍.............................................193.1国际大豆期货市场时间序列数据相关属性.............................................................193.1.1金融资产时间序列数据的概率特性..............................................................193.1.2金融资产时间序列平稳性..............................................................................193.2金融资产时间序列数据的一些基本特征.................................................................20第四章MATLAB概述................................................................................................................214.1概述.............................................................................................................................214.2GARCH模型的MATLAB实现..............................................................................21第五章建模及预测.................................................................................................................22北京工商大学本科生毕业论文（设计）65.1对仿真数据进行预测.................................................................................................225.1.1研究步骤..........................................................................................................225.1.2拟合效果分析..................................................................................................225.1.3运行结果..............................