目录中文摘要.........................................................................................................................................1ABSTRACT.........................................................................................................................................21.前言...........................................................................................................................................31.1研究背景和意义................................................................................................................31.2国内外文献综述................................................................................................................31.3本文结构安排....................................................................................................................42.股票指数风险特征分析及夏普比率介绍......................................................................52.1数据来源............................................................................................................................52.2风险特征分析....................................................................................................................52.2.1波动集聚性............................................................................................................52.2.2非正态性................................................................................................................62.2.3“尖峰厚尾”特征................................................................................................72.2.4异方差性................................................................................................................72.3小结....................................................................................................................................72.4绩效评估指标——夏普比率............................................................................................82.4.1核心思想................................................................................................................82.4.2计算方法................................................................................................................83.基于GARCH模型的股票指数的波动性研究..................................................................83.1平稳性检验........................................................................................................................93.2自相关检验和异方差检验................................................................................................93.3基于GARCH模型的深证成指的波动性研究...............................................................113.4基于GARCH模型的中小板指数的波动性研究...........................................................143.5基于GARCH模型的创业板指数的波动性研究...........................................................153.6基于GARCH模型的上证综指的波动性研究...............................................................163.7实证结果分析..................................................................................................................174.股票指数的绩效评估.........................................................................................................184.1夏普比率的数据来源.......................................................................
