基于GARCH模型股市价格的波动性分析

Volatility Analysis of Stock Market Price Based on GARCH Model

摘要: 本文通过大智慧软件收集云南白药、云南旅游、昆药集团、中国银行、建设银行等五支股票的日开盘价数据，用时间序列的相关理论，通过Eviews7.2软件进行实证分析，研究收益率的波动情况，建立GARCH模型，结合模型预测图，根据一些评价指标，给投资者提供良好的决策参考。

Abstract: In this paper, we collect the daily open price data of five stocks of Yunnan Baiyao, Yunnan tourism, Kunming medicine group, China bank, construction bank in the DAZHIHUI software. By using the relevant theory of time series, this paper carries out an empirical analysis through Eviews7.2 software, studies the volatility of the rate of return, and establishes a GARCH model. According to some evaluation indexes and forecast results, the prediction chart can provide a good decision reference for investors.