Beta Value is Used to Measure the Risk of Stock Market

摘要：

　　This article is to 2010 April 17 to 2015 June 5, the Shanghai Stock Exchange listed CITIC bank transaction data as samples, the least square method calculate beta coefficient, stability test beta coefficient sequence, of random error test has arch effect, then using the mean regression model and GARCH (1,1) of stocks in different periods of beta coefficient prediction, and the results of the two are compared.It is confirmed that the GARCH (1, 1) model prediction is better than that of mean regression model predictions and the reasons were analyzed and explained.

关键词： Beta coefficient Mean regression model LM test GARCH(1,1) model

作者: WU DI CUI Yujie AN Dong

作者单位: College of science,North China University of Technology,Beijing 100144

会议类型: 国际会议

会议名称: The 7th International Institute of Statistics & Management Engineering Symposium(IISMES2015) (第七届国际统计与管理工程学术研讨会)

会议地点: 山东 日照

会议语种:英文

页码: 404-409

在线出版日期: 2015-08-17（万方平台首次上网日期，不代表论文的发表时间）