GARCH(1,1)
波动率估计：GARCH(1,1)
第几个交易日 收盘指数 指数回报率 方差率 波动率 最大化目标函数（概率）
交易日期 Day i Si ui Vi σi "-LN(Vi)-ui^2/Vi" ω α β V 年波动率
19950601 1130
19950602 1131
19950605 1132 0
19950606 1133
19950607 1134 0
19950608 1135
19950609 1136
19950612 1137 0
19950613 1138 0 0
19950614 1139 0
19950615 1140 0
19950616 1141 -0
19950619 1142
19950620 1143
19950621 1144 0
19950622 1145 0
19950623 1146 0
19950626 1147 0
19950627 1148 0
19950628 1149 0
19950629 1150 0
19950630 1151 0
19950703 1152 0
19950704 1153
19950705 1154 0
19950706 1155
19950707 1156 0
19950710 1157
19950711 1158
19950712 1159 -0
19950713 1160 0
19950714 1161 0
19950717 1162 0
19950718 1163
19950719 1164
19950720 1165
19950721 1166
19950724 1167 0
19950725 1168 0
19950726 1169 0
19950727 1170 0
19950728 1171 0
19950731 1172 0 0
19950801 1173 0
19950802 1174 0
19950803 1175 0
19950804 1176 0
19950807 1177 0
19950808 1178 0
19950809 1179 0
19950810 1180 0
19950811 1181 0
19950814 1182 0
19950815 1183
19950816 1184
19950817 1185
19950818 1186 0
19950821 1187 0
19950822 1188 0
19950823 1189 0
19950824 1190 0
19950825 1191 0
19950828 1192 0
19950829 1193 0
19950830 1194 0
19950831 1195 0
19950901 1196 0
19950904 1197 0
19950905 1198 0
19950906 1199 0
19950907 1200 0 0
19950908 1201 0
19950911 1202 0
19950912 1203
19950913 1204 0
19950914 1205 0
19950915 1206 0
19950918 1207 0
19950919 1208 0
19950920 1209 0
19950921 1210 0
19950922 1211 0
19950925 1212 0
19950926 1213 0
19950927 1214 0
19950928 1215 0
19950929 1216 0
19951004 1217 0
19951005 1218 0
19951006 1219 0
19951009 1220 0
19951010 1221 0
19951011 1222 0
19951012 1223 0
19951013 1224 0
19951016 1225 0
19951017 1226 0
19951018 1227 0
19951019 1228 0
19951020 1229 0
19951023 1230
19951024 1231 0
19951025 1232 0
19951026 1233
19951027 1234
19951030 1235
19951031 1236 0
19951101 1237 0
19951102 1238 0
19951103 1239 0
19951106 1240 0
19951107 1241 0
19951108 1242 0
19951109 1243 0
19951110 1244 0
19951113 1245 0
19951114 1246 0 0
19951115 1247 0
19951116 1248 0
19951117 1249 0
19951120 1250 0
19951121 1251 0
19951122 1252 0
19951123 1253 0
19951124 1254 0
19951127 1255 0
19951128 1256 0
19951129 1257 0
19951130 1258 0
19951201 1259 0
19951204 1260 0
19951205 1261 0
19951206 1262 0
19951207 1263 0
19951208 1264 0
19951211 1265 0
19951212 1266 0
19951213 1267 0
19951214 1268
19951215 1269 0
19951218 1270 0
19951219 1271 -0 0
19951220 1272 0
19951221 1273 0
19951222 1274 0
19951225 1275 0
19951226 1276 0
19951227 1277 0
19951228 1278 0
19951229 1279 0
19960102 1280 0
19960103 1281
19960104 1282 0
19960105 1283
19960108 1284
19960109 1285
19960110 1286
19960111 1287
19960112 1288 0
19960115 1289 0
19960116 1290 0
19960117 1291 0
19960118 1292 0
19960119 1293
19960122 1294 0
19960123 1295 0
19960124 1296 0
19960125 1297 0
19960126 1298 0
19960129 1299 0
19960130 1300 0
19960131 1301 0
19960201 1302 0
19960202 1303 0
19960205 1304 0
19960206 1305 0
19960207 1306 0
19960208 1307 0
19960209 1308 0
19960212 1309 0
19960213 1310 0
19960214 1311 0
19960215 1312 0
19960216 1313 0
19960304 1314
19960305 1315
19960306 1316
19960307 1317
19960308 1318
19960311 1319
19960312 1320 0
19960313 1321 0
19960314 1322 0
19960315 1323 0 0
19960318 1324 0
19960319 1325 0
19960320 1326 0
19960321 1327 0 0
19960322 1328 0 9
19960325 1329 0 0
19960326 1330 0
19960327 1331 0
19960328 1332 0
19960329 1333 0
19960401 1334 0
19960402 1335 0
19960403 1336 0
19960404 1337 0
19960405 1338 0
19960408 1339
19960409 1340 0
19960410 1341 0
19960411 1342 0
19960412 1343 0
19960415 1344 0
19960416 1345 0
19960417 1346 0
19960418 1347 0
19960419 1348 0
19960422 1349
19960423 1350 0
19960424 1351 0
19960425 1352
19960426 1353
19960429 1354
19960430 1355
19960502 1356
19960503 1357
19960506 1358
19960507 1359
19960508 1360 0
19960509 1361 0
19960510 1362 0
19960513 1363 0
19960514 1364 0
19960515 1365 0
19960516 1366 0
19960517 1367 0
19960520 1368
19960521 1369
19960522 1370
19960523 1371
19960524 1372
19960527 1373
19960528 1374 0
19960529 1375 0
19960530 1376 0
19960531 1377 0
19960603 1378 0
19960604 1379 0
19960605 1380 0
19960606 1381
19960607 1382
19960610 1383
19960611 1384
19960612 1385
19960613 1386
19960614 1387 0
19960617 1388 752 0
19960618 1389
19960619 1390
19960620 1391
19960621 1392 0
19960624 1393 0
19960625 1394 0
19960626 1395 0
19960627 1396 0
19960628 1397 0
19960701 1398 0
19960702 1399
19960703 1400
19960704 1401
19960705 1402 -0 0
19960708 1403 0
19960709 1404
19960710 1405 0
19960711 1406 0
19960712 1407
19960715 1408 0
19960716 1409 0
19960717 1410
19960718 1411
19960719 1412 0
19960722 1413
19960723 1414
19960724 1415
19960725 1416
19960726 1417
19960729 1418
19960730 1419 0
19960731 1420 0
19960801 1421 0
19960802 1422 0
19960805 1423 0
19960806 1424 0
19960807 1425 0
19960808 1426 0
19960809 1427 0
19960812 1428 0
19960813 1429 0
19960814 1430 0
19960815 1431 0
19960816 1432 0
19960819 1433 0
19960820 1434 0
19960821 1435 0
19960822 1436 0
19960823 1437 0
19960826 1438 0
19960827 1439
19960828 1440
19960829 1441 0
19960830 1442 0
19960902 1443
19960903 1444 0
19960904 1445 0
19960905 1446 0
19960906 1447 0
19960909 1448 0
19960910 1449 0
19960911 1450
19960912 1451 0
19960913 1452 0
19960916 1453
19960917 1454 0
19960918 1455 0
19960919 1456 0
19960920 1457 0
19960923 1458
19960924 1459
19960925 1460
19960926 1461
19960927 1462
19961003 1463
19961004 1464 0
19961007 1465 0
19961008 1466 0
19961009 1467 0
19961010 1468 0
19961011 1469
19961014 1470 0
19961015 1471
19961016 1472 0
19961017 1473 0
19961018 1474 0
19961021 1475 0
19961022 1476 0
19961023 1477 0
19961024 1478
19961025 1479 0
19961028 1480 0
19961029 1481 0
19961030 1482 0
19961031 1483
19961101 1484
19961104 1485
19961105 1486
19961106 1487
19961107 1488 0
19961108 1489 0
19961111 1490 0
19961112 1491 0
19961113 1492 0
19961114 1493 0
19961115 1494 0
19961118 1495 0
19961119 1496
19961120 1497
19961121 1498 0
19961122 1499
19961125 1500
19961126 1501
19961127 1502
19961128 1503 0
19961129 1504 0
19961202 1505
19961203 1506
19961204 1507
19961205 1508
19961206 1509
19961209 1510
19961210 1511
19961211 1512
19961212 1513 0
19961213 1514
19961216 1515
19961217 1516
19961218 1517
19961219 1518
19961220 1519
19961223 1520
19961224 1521
19961225 1522
19961226 1523
19961227 1524
19961230 1525
19961231 1526 0
19970102 1527 0
19970103 1528 0
19970106 1529 0
19970107 1530
19970108 1531
19970109 1532 0
19970110 1533 0
19970113 1534 0
19970114 1535 0
19970115 1536 0
19970116 1537 0
19970117 1538 0
19970120 1539 0
19970121 1540 0
19970122 1541 0
19970123 1542 0
19970124 1543 0
19970127 1544 0
19970128 1545 0
19970129 1546 0
19970130 1547 0
19970131 1548 0
19970217 1549 0
19970218 1550 0
19970219 1551
19970220 1552
19970221 1553
19970224 1554
19970225 1555
19970226 1556
19970227 1557 0
19970228 1558 0
19970303 1559 0
19970304 1560 0
19970305 1561 0
19970306 1562 0
19970307 1563 0
19970310 1564 0
19970311 1565 0
19970312 1566 0
19970313 1567 0
19970314 1568 0
19970317 1569 0
19970318 1570
19970319 1571 0
19970320 1572 0
19970321 1573
19970324 1574
19970325 1575
19970326 1576 0
19970327 1577 0
19970328 1578 0
19970331 1579 0
19970401 1580 0
19970402 1581 0
19970403 1582 0
19970404 1583 0
19970407 1584 0
19970408 1585 0
19970409 1586 0
19970410 1587
19970411 1588 0
19970414 1589 0
19970415 1590
19970416 1591 0
19970417 1592 0
19970418 1593 0
19970421 1594 0
19970422 1595 0
19970423 1596 0
19970424 1597 0
19970425 1598 0
19970428 1599 0
19970429 1600 0
19970430 1601 0
19970505 1602 0
19970506 1603
19970507 1604
19970508 1605 0
19970509 1606
19970512 1607
19970513 1608
19970514 1609
19970515 1610
19970516 1611
19970519 1612
19970520 1613
19970521 1614
19970522 1615
19970523 1616
19970526 1617
19970527 1618
19970528 1619
19970529 1620 0
19970530 1621 0
19970602 1622 0
19970603 1623
19970604 1624 0
19970605 1625 0
19970606 1626 0
19970609 1627 -0
19970610 1628
19970611 1629
19970612 1630
19970613 1631 0
19970616 1632
19970617 1633 0
19970618 1634 0
19970619 1635 0
19970620 1636 0
19970623 1637
19970624 1638
19970625 1639 0
19970626 1640 0
19970627 1641 0
19970702 1642 0
19970703 1643
19970704 1644
19970707 1645
19970708 1646
19970709 1647
19970710 1648
19970711 1649 0
19970714 1650
19970715 1651
19970716 1652 0
19970717 1653 0
19970718 1654 0
19970721 1655 0
19970722 1656 0
19970723 1657 0
19970724 1658 0
19970725 1659 0
19970728 1660 0
19970729 1661 0
19970730 1662 0
19970731 1663 0
19970801 1664 0
19970804 1665 0
19970805 1666 0
19970806 1667 0
19970807 1668 0
19970808 1669 0
19970811 1670 0
19970812 1671 0
19970813 1672
19970814 1673
19970815 1674
19970818 1675
19970819 1676 0
19970820 1677 0
19970821 1678 0
19970822 1679 0
19970825 1680 0
19970826 1681 0
19970827 1682 0
19970828 1683 0
19970829 1684 0
19970901 1685 0
19970902 1686 0
19970903 1687 0
19970904 1688 0
19970905 1689 0 0
19970908 1690 0
19970909 1691 0
19970910 1692 0
19970911 1693 0
19970912 1694 0
19970915 1695
19970916 1696
19970917 1697 0
19970918 1698 0
19970919 1699 0
19970922 1700 0
19970923 1701
19970924 1702
19970925 1703
19970926 1704
19970929 1705
19970930 1706
19971006 1707 0
19971007 1708 0
19971008 1709 0
19971009 1710
19971010 1711 0
19971013 1712 0
19971014 1713 0
19971015 1714 0
19971016 1715 0
19971017 1716 0
19971020 1717 0
19971021 1718 0
19971022 1719 0
19971023 1720 0
19971024 1721 0
19971027 1722 0
19971028 1723
19971029 1724
19971030 1725
19971031 1726 0
19971103 1727 0 0
19971104 1728 0
19971105 1729 0
19971106 1730 0
19971107 1731 0
19971110 1732 0
19971111 1733 0
19971112 1734 0
19971113 1735 0
19971114 1736 0
19971117 1737 0
19971118 1738 0
19971119 1739 0
19971120 1740 0
19971121 1741 0
19971124 1742 0
19971125 1743
19971126 1744 0
19971127 1745 0
19971128 1746 0
19971201 1747 0
19971202 1748 0
19971203 1749 0
19971204 1750 0
19971205 1751 0 0
19971208 1752 0
19971209 1753 0
19971210 1754 0
19971211 1755 0
19971212 1756 0
19971215 1757 0
19971216 1758 0
19971217 1759 0
19971218 1760 0
19971219 1761 0
19971222 1762 0
19971223 1763 0
19971224 1764 0
19971225 1765 0
19971226 1766 0
19971229 1767 0
19971230 1768 0
19971231 1769 0
19980105 1770 0
19980106 1771 0
19980107 1772 0
19980108 1773 0
19980109 1774 0
19980112 1775 0
19980113 1776 0
19980114 1777
19980115 1778
19980116 1779
19980119 1780 0
19980120 1781 0
19980121 1782 0
19980122 1783 0
19980123 1784 0
19980209 1785 0
19980210 1786 0
19980211 1787 0
19980212 1788 0
19980213 1789 -0 0
19980216 1790 0
19980217 1791 0
19980218 1792 0
19980219 1793 0
19980220 1794 0
19980223 1795 0
19980224 1796 -0 0
19980225 1797 0
19980226 1798 0
19980227 1799 -0 0
19980302 1800 0
19980303 1801 0
19980304 1802 0
19980305 1803 0
19980306 1804 0
19980309 1805 0
19980310 1806 0
19980311 1807 0
19980312 1808 0
19980313 1809 0
19980316 1810 0
19980317 1811 0
19980318 1812 0
19980319 1813 0
19980320 1814 0
19980323 1815 0
19980324 1816 0
19980325 1817 0
19980326 1818 0
19980327 1819 0
19980330 1820 0
19980331 1821 0
19980401 1822 0
19980402 1823 0
19980403 1824 0
19980406 1825 0
19980407 1826 0
19980408 1827 0
19980409 1828 0
19980410 1829 0
19980413 1830 0
19980414 1831 0
19980415 1832 0
19980416 1833 0
19980417 1834 0
19980420 1835 0
19980421 1836 0
19980422 1837 0
19980423 1838 0
19980424 1839 0
19980427 1840 0
19980428 1841 0
19980429 1842 -0 0
19980430 1843 0
19980504 1844 0
19980505 1845 -0 0
19980506 1846 0
19980507 1847 0
19980508 1848 0
19980511 1849 0
19980512 1850 0
19980513 1851 0
19980514 1852 0
19980515 1853 0
19980518 1854 0 0
19980519 1855 0
19980520 1856 0
19980521 1857 0
19980522 1858 0
19980525 1859 0
19980526 1860 0
19980527 1861 0
19980528 1862 0
19980529 1863 0
19980601 1864 0
19980602 1865 0
19980603 1866 1420 0
19980604 1867 0
19980605 1868 0
19980608 1869 0
19980609 1870 0
19980610 1871 0
19980611 1872 0
19980612 1873 0
19980615 1874 0
19980616 1875 0
19980617 1876 0 0
19980618 1877 0
19980619 1878 0
19980622 1879 0
19980623 1880 0
19980624 1881 0
19980625 1882 0
19980626 1883 0
19980629 1884 0
19980630 1885 0
19980701 1886 0
19980702 1887 0
19980703 1888 0
19980706 1889 0
19980707 1890 0
19980708 1891 0
19980709 1892 0
19980710 1893 0
19980713 1894 0
19980714 1895 0
19980715 1896 0
19980716 1897 0
19980717 1898 0
19980720 1899 0
19980721 1900 0
19980722 1901 0
19980723 1902 0
19980724 1903 0
19980727 1904 0
19980728 1905 0
19980729 1906 0
19980730 1907 0
19980731 1908 0
19980803 1909 0
19980804 1910 0
19980805 1911 0
19980806 1912 0
19980807 1913 0
19980810 1914 0
19980811 1915
19980812 1916
19980813 1917 0
19980814 1918 0
19980817 1919
19980818 1920
19980819 1921
19980820 1922
19980821 1923
19980824 1924
19980825 1925 0 0
19980826 1926 0
19980827 1927 0
19980828 1928 0
19980831 1929 0
19980901 1930 0
19980902 1931 0
19980903 1932 0
19980904 1933 0
19980907 1934 0
19980908 1935 0
19980909 1936 0
19980910 1937 0
19980911 1938 0
19980914 1939 0
19980915 1940 0
19980916 1941 0
19980917 1942 0
19980918 1943 1207 0
19980921 1944 0
19980922 1945 0 0
19980923 1946 0
19980924 1947 0
19980925 1948 0
19980928 1949 0
19980929 1950 0
19980930 1951 0
19981005 1952 0
19981006 1953 0
19981007 1954 0
19981008 1955 0
19981009 1956 0
19981012 1957 0
19981013 1958 0
19981014 1959 0
19981015 1960 0
19981016 1961 0
19981019 1962 0
19981020 1963 0
19981021 1964 0
19981022 1965 0
19981023 1966 0
19981026 1967 0
19981027 1968 0
19981028 1969 0
19981029 1970 0
19981030 1971 0 0
19981102 1972 0
19981103 1973 0
19981104 1974 0
19981105 1975 0
19981106 1976 0
19981109 1977 0
19981110 1978 0
19981111 1979 -0 0
19981112 1980 0
19981113 1981 -0 0
19981116 1982 0
19981117 1983 0
19981118 1984 0
19981119 1985 0
19981120 1986 -0 0
19981123 1987 0
19981124 1988 0
19981125 1989 0
19981126 1990 0
19981127 1991 0
19981130 1992 0
19981201 1993 0
19981202 1994 0
19981203 1995 0
19981204 1996 0
19981207 1997 0
19981208 1998 0
19981209 1999 0
19981210 2000 0
19981211 2001 0
19981214 2002 0
19981215 2003 0
19981216 2004 0
19981217 2005 0
19981218 2006 0
19981221 2007 0
19981222 2008 0
19981223 2009 0
19981224 2010 0
19981225 2011 0
19981228 2012 0
19981229 2013 0
19981230 2014 0
19981231 2015 0
19990104 2016 0
19990105 2017 0
19990106 2018 0
19990107 2019 0
19990108 2020 0
19990111 2021 0
19990112 2022 0
19990113 2023 0
19990114 2024 0 0
19990115 2025 0
19990118 2026 0
19990119 2027 0
19990120 2028 0
19990121 2029 0
19990122 2030 0
19990125 2031 0
19990126 2032 0
19990127 2033 0
19990128 2034 0
19990129 2035 0
19990201 2036 0
19990202 2037 0
19990203 2038 0
19990204 2039 0
19990205 2040 0
19990208 2041 0
19990209 2042 0
19990301 2043 0
19990302 2044 0
19990303 2045 0
19990304 2046 0 0
19990305 2047 0
19990308 2048 0
19990309 2049 0
19990310 2050 0
19990311 2051 0
19990312 2052 0
19990315 2053 0
19990316 2054 0
19990317 2055 0
19990318 2056 0
19990319 2057 0
19990322 2058 -0 0
19990323 2059 0
19990324 2060 0
19990325 2061 0
19990326 2062 0
19990329 2063 0
19990330 2064 0
19990331 2065 0 0
19990401 2066 0
19990402 2067 0
19990405 2068 0
19990406 2069 0
19990407 2070 0
19990408 2071 0
19990409 2072 0
19990412 2073 0
19990413 2074 0
19990414 2075 0
19990415 2076 0
19990416 2077 0
19990419 2078 0
19990420 2079 0
19990421 2080 0
19990422 2081 0
19990423 2082 1140 0
19990426 2083 0
19990427 2084 0
19990428 2085 0
19990429 2086 0
19990430 2087 0
19990504 2088 0
19990505 2089 0
19990506 2090 0
19990507 2091 0
19990510 2092 0
19990511 2093
19990512 2094 1100
19990513 2095 0
19990514 2096 0
19990517 2097 0
19990518 2098 0
19990519 2099 0
19990520 2100
19990521 2101
19990524 2102
19990525 2103
19990526 2104
19990527 2105
19990528 2106
19990531 2107
19990601 2108 0
19990602 2109 0
19990603 2110 0
19990604 2111 0
19990607 2112 0
19990608 2113
19990609 2114 0
19990610 2115 0
19990611 2116 0
19990614 2117 0
19990615 2118
19990616 2119
19990617 2120
19990618 2121
19990621 2122
19990622 2123
19990623 2124 0
19990624 2125
19990625 2126
19990628 2127
19990629 2128
19990630 2129
19990701 2130
19990702 2131
19990705 2132
19990706 2133
19990707 2134
19990708 2135
19990709 2136
19990712 2137 0
19990713 2138 0
19990714 2139 0
19990715 2140 0
19990716 2141 0
19990719 2142 0
19990720 2143
19990721 2144
19990722 2145
19990723 2146
19990726 2147
19990727 2148
19990728 2149 0
19990729 2150 0
19990730 2151 0
19990802 2152 0
19990803 2153 0
19990804 2154 0
19990805 2155 0
19990806 2156 0
19990809 2157 0
19990810 2158 0
19990811 2159 0
19990812 2160 0
19990813 2161 0
19990816 2162 0
19990817 2163 0
19990818 2164 0
19990819 2165 0
19990820 2166
19990823 2167 1645 0
19990824 2168 0
19990825 2169 0
19990826 2170 0
19990827 2171 0
19990830 2172 0
19990831 2173 0
19990901 2174 0
19990902 2175 0
19990903 2176 0
19990906 2177 0
19990907 2178 0
19990908 2179 0
19990909 2180 0
19990910 2181
19990913 2182
19990914 2183
19990915 2184 0
19990916 2185 0
19990917 2186 0
19990920 2187 0
19990921 2188 0
19990922 2189 0
19990923 2190 0
19990924 2191 0
19990927 2192 0
19990928 2193 0
19990929 2194 0
19990930 2195 0
19991008 2196 0
19991011 2197 0
19991012 2198 0
19991013 2199 0
19991014 2200 0
19991015 2201 0
19991018 2202 0
19991019 2203
19991020 2204
19991021 2205 0
19991022 2206 0
19991025 2207
19991026 2208 0
19991027 2209 0
19991028 2210
19991029 2211
19991101 2212 0
19991102 2213 0
19991103 2214 0
19991104 2215 0
19991105 2216 0 0
19991108 2217 0
19991109 2218 0
19991110 2219 0
19991111 2220 0
19991112 2221 0
19991115 2222 0
19991116 2223 0
19991117 2224 0
19991118 2225 0
19991119 2226 0
19991122 2227 0
19991123 2228 0
19991124 2229 0
19991125 2230 0
19991126 2231 0 0
19991129 2232 0
19991130 2233 -0 0
19991201 2234 0
19991202 2235 0
19991203 2236 0
19991206 2237 1427 0
19991207 2238 0
19991208 2239 0
19991209 2240 0
19991210 2241 0
19991213 2242 0
19991214 2243 0
19991215 2244 0
19991216 2245 0
19991217 2246 0
19991221 2247 0
19991222 2248 0
19991223 2249 0
19991224 2250 0
19991227 2251 0
19991228 2252 0
19991229 2253 0
19991230 2254 0
20000104 2255 0
20000105 2256
20000106 2257 0
20000107 2258
20000110 2259
20000111 2260
20000112 2261
20000113 2262
20000114 2263
20000117 2264 0
20000118 2265 0
20000119 2266 0
20000120 2267 0
20000121 2268 0
20000124 2269 0
20000125 2270 0
20000126 2271 0
20000127 2272 0
20000128 2273 1535 0
20000214 2274 0
20000215 2275
20000216 2276
20000217 2277
20000218 2278
20000221 2279
20000222 2280 0
20000223 2281
20000224 2282
20000225 2283
20000228 2284 0
20000229 2285
20000301 2286
20000302 2287 0
20000303 2288 0
20000306 2289 0
20000307 2290
20000308 2291 0
20000309 2292 0
20000310 2293 0
20000313 2294 0
20000314 2295 0
20000315 2296 0
20000316 2297 0
20000317 2298
20000320 2299
20000321 2300
20000322 2301 0
20000323 2302 0
20000324 2303 0
20000327 2304 0
20000328 2305 0
20000329 2306 0
20000330 2307 0
20000331 2308 0
20000403 2309 1801 0 0
20000404 2310 0
20000405 2311 0
20000406 2312 0
20000407 2313 0
20000410 2314 0
20000411 2315 0
20000412 2316 0
20000413 2317 0
20000414 2318 0
20000417 2319 0
20000418 2320 0
20000419 2321 0
20000420 2322 0
20000421 2323 0
20000424 2324 0
20000425 2325 0
20000426 2326 -0 0
20000427 2327 0
20000428 2328 0
20000508 2329 0 0
20000509 2330 0
20000510 2331 0
20000511 2332
20000512 2333 0
20000515 2334 0
20000516 2335 0
20000517 2336 0 0
20000518 2337 0
20000519 2338 0
20000522 2339 0
20000523 2340 0
20000524 2341 0
20000525 2342 0
20000526 2343 0
20000529 2344 0
20000530 2345 0
20000531 2346 0
20000601 2347 0
20000602 2348 0
20000605 2349 0
20000606 2350 0
20000607 2351 0
20000608 2352 0
20000609 2353 0
20000612 2354 0
20000613 2355 0
20000614 2356 0
20000615 2357 0
20000616 2358 0
20000619 2359 0
20000620 2360 0
20000621 2361 0
20000622 2362 0 0
20000623 2363 0
20000626 2364 0
20000627 2365 0
20000628 2366 0
20000629 2367 0
20000630 2368 0
20000703 2369 0
20000704 2370 0
20000705 2371 0
20000706 2372 0
20000707 2373 0
20000710 2374 0
20000711 2375 0
20000712 2376 0
20000713 2377 0
20000714 2378 0
20000717 2379 0
20000718 2380 0
20000719 2381 0
20000720 2382 0
20000721 2383 0
20000724 2384 0
20000725 2385 0
20000726 2386 0
20000727 2387 0 0
20000728 2388 0 0
20000731 2389 0
20000801 2390 0
20000802 2391 0
20000803 2392 0
20000804 2393 0
20000807 2394 0
20000808 2395 0
20000809 2396 0
20000810 2397 0
20000811 2398 0
20000814 2399 0
20000815 2400 0 0
20000816 2401 0
20000817 2402 0
20000818 2403 0
20000821 2404 0
20000822 2405 0
20000823 2406 0
20000824 2407 0
20000825 2408 0
20000828 2409 0
20000829 2410 0
20000830 2411 0
20000831 2412 0
20000901 2413 0
20000904 2414 0
20000905 2415 0
20000906 2416 0
20000907 2417 0
20000908 2418 0
20000911 2419 0
20000913 2420 0
20000914 2421 0
20000915 2422 0
20000918 2423 0
20000919 2424 0
20000920 2425 0
20000921 2426 0
20000922 2427 0
20000925 2428 0
20000926 2429 0
20000927 2430 0
20000928 2431 0
20000929 2432 0
20001009 2433 0
20001010 2434 0
20001011 2435 0
20001012 2436 0
20001013 2437 0
20001016 2438 0
20001017 2439 0
20001018 2440 0
20001019 2441 0
20001020 2442 0
20001023 2443 0
20001024 2444 0
20001025 2445 0
20001026 2446 0
20001027 2447 -0 0
20001030 2448 0
20001031 2449 0
20001101 2450 0
20001102 2451 0
20001103 2452 0
20001106 2453 0
20001107 2454 0
20001108 2455 0
20001109 2456 0
20001110 2457 0
20001113 2458 0
20001114 2459 0
20001115 2460 0
20001116 2461 0
20001117 2462 0
20001120 2463 0
20001121 2464 0
20001122 2465 0
20001123 2466 0
20001124 2467 0
20001127 2468
20001128 2469 0
20001129 2470 0
20001130 2471 0
20001201 2472 0
20001204 2473 0
20001205 2474 -0 0
20001206 2475 0
20001207 2476 -0 0
20001208 2477 0
20001211 2478 0
20001212 2479 0
20001213 2480 0
20001214 2481 0
20001215 2482 0
20001218 2483 0
20001219 2484 0
20001220 2485 0
20001221 2486 0
20001222 2487 0
20001225 2488 0
20001226 2489 0
20001227 2490 0
20001228 2491 0
20001229 2492 0
20010102 2493 0
20010103 2494 0
20010104 2495 0
20010105 2496 0
20010108 2497 0
20010109 2498 -0 0
20010110 2499 0
20010111 2500 0
20010112 2501 0
20010115 2502 0
20010116 2503
20010117 2504 0
20010118 2505 0
20010119 2506 0
20010205 2507 0
20010206 2508 0
20010207 2509 0
20010208 2510 0
20010209 2511 0
20010212 2512 0
20010213 2513 0
20010214 2514 -0 0
20010215 2515 0
20010216 2516 0
20010219 2517 0
20010220 2518 0
20010221 2519 0
20010222 2520 0
20010223 2521 0
20010226 2522 0
20010227 2523 0
20010228 2524 0
20010301 2525 0
20010302 2526 0
20010305 2527 -0 0
20010306 2528 0
20010307 2529 0
20010308 2530 0
20010309 2531 0
20010312 2532 0 0
20010313 2533 0
20010314 2534 0
20010315 2535 0
20010316 2536 0
20010319 2537 0
20010320 2538 0
20010321 2539 0
20010322 2540 0
20010323 2541 0
20010326 2542 0
20010327 2543 0
20010328 2544 -0 0
20010329 2545 0
20010330 2546 0
20010402 2547 0
20010403 2548 0
20010404 2549 0
20010405 2550 0
20010406 2551 0
20010409 2552 0
20010410 2553 0
20010411 2554 0
20010412 2555 0
20010413 2556 0
20010416 2557 0
20010417 2558 0
20010418 2559 0
20010419 2560 0 0
20010420 2561 0
20010423 2562 0
20010424 2563 0
20010425 2564 0
20010426 2565 0
20010427 2566 0
20010430 2567 0
20010508 2568 0
20010509 2569 0
20010510 2570 0
20010511 2571 0
20010514 2572 0
20010515 2573 0
20010516 2574 0
20010517 2575 0
20010518 2576 0
20010521 2577 0
20010522 2578 0
20010523 2579 0
20010524 2580 0 0
20010525 2581 0
20010528 2582 0
20010529 2583 0 0
20010530 2584 0
20010531 2585 0
20010601 2586 0
20010604 2587 0
20010605 2588 0
20010606 2589 0
20010607 2590 0
20010608 2591 0
20010611 2592 0
20010612 2593 0
20010613 2594 0
20010614 2595 0
20010615 2596 0
20010618 2597 0
20010619 2598 0
20010620 2599 0
20010621 2600 0
20010622 2601 0
20010625 2602 0
20010626 2603 0
20010627 2604 0
20010628 2605 0
20010629 2606 0
20010702 2607 0
20010703 2608 0
20010704 2609 0
20010705 2610 0
20010706 2611 0
20010709 2612 -0 0
20010710 2613 0
20010711 2614 0
20010712 2615 0
20010713 2616 0
20010716 2617 0
20010717 2618 0
20010718 2619 0
20010719 2620 0
20010720 2621 0
20010723 2622 0
20010724 2623 0
20010725 2624 0
20010726 2625 0
20010727 2626 0
20010730 2627 0
20010731 2628
20010801 2629
20010802 2630
20010803 2631
20010806 2632 0
20010807 2633
20010808 2634
20010809 2635 0
20010810 2636 0
20010813 2637 0 0
20010814 2638 0
20010815 2639 0
20010816 2640 0
20010817 2641 1924 0
20010820 2642 0
20010821 2643 0
20010822 2644 0
20010823 2645 -0 0
20010824 2646 0
20010827 2647 0
20010828 2648
20010829 2649 0
20010830 2650 0
20010831 2651 0
20010903 2652 0
20010904 2653 0
20010905 2654 0
20010906 2655 0
20010907 2656 0
20010910 2657 0
20010911 2658
20010912 2659 0
20010913 2660 0
20010914 2661 0
20010917 2662 0
20010918 2663 0
20010919 2664 0
20010920 2665 0
20010921 2666 0
20010924 2667 0
20010925 2668 0
20010926 2669 0
20010927 2670 0
20010928 2671 -0 0
20011008 2672 0
20011009 2673 0
20011010 2674 0
20011011 2675
20011012 2676
20011015 2677
20011016 2678 0
20011017 2679 0
20011018 2680 0
20011019 2681 0
20011022 2682
20011023 2683
20011024 2684
20011025 2685
20011026 2686
20011029 2687
20011030 2688 0
20011031 2689 0
20011101 2690 0
20011102 2691 0
20011105 2692 0
20011106 2693 0
20011107 2694 0
20011108 2695
20011109 2696
20011112 2697 0
20011113 2698 0
20011114 2699 0
20011115 2700 0
20011116 2701 0
20011119 2702 0
20011120 2703 0
20011121 2704 0
20011122 2705 0
20011123 2706 0
20011126 2707 0
20011127 2708 0
20011128 2709 1735 0
20011129 2710 0
20011130 2711 0
20011203 2712 0
20011204 2713 0
20011205 2714 0
20011206 2715 0
20011207 2716 0
20011210 2717 0
20011211 2718 0
20011212 2719 0
20011213 2720 0
20011214 2721 0
20011217 2722 0
20011218 2723 0
20011219 2724 0
20011220 2725 0
20011221 2726 0
20011224 2727 0
20011225 2728 0
20011226 2729 0
20011227 2730 0
20011228 2731 0
20011231 2732 0
小计 11,
GARCH(1,1)
GARCH(1,1)VT
波动率估计：GARCH(1,1)-Variance Targeting
第几个交易日 上证收盘指数 指数回报率 方差率 波动率 最大化目标函数（概率）
交易日期 Day i Si ui Vi σi "-LN(Vi)-ui^2/Vi" ω α β V 年波动率
19950601 1130
19950602 1131
19950605 1132
19950606 1133
19950607 1134
19950608 1135
19950609 1136
19950612 1137
19950613 1138 0
19950614 1139
19950615 1140 0
19950616 1141 -0
19950619 1142
19950620 1143
19950621 1144
19950622 1145
19950623 1146 0
19950626 1147 0
19950627 1148 0
19950628 1149 0
19950629 1150 0
19950630 1151 0
19950703 1152 0
19950704 1153 0
19950705 1154 0
19950706 1155 0
19950707 1156 0
19950710 1157
19950711 1158
19950712 1159 -0
19950713 1160 0
19950714 1161 0
19950717 1162 0
19950718 1163
19950719 1164
19950720 1165
19950721 1166
19950724 1167
19950725 1168
19950726 1169
19950727 1170
19950728 1171 0
19950731 1172 0 0
19950801 1173 0
19950802 1174 0
19950803 1175 0
19950804 1176 0
19950807 1177 0
19950808 1178 0
19950809 1179 0
19950810 1180 0
19950811 1181 0
19950814 1182 0
19950815 1183
19950816 1184
19950817 1185
19950818 1186
19950821 1187 0
19950822 1188
19950823 1189 0
19950824 1190 0
19950825 1191 0
19950828 1192 0
19950829 1193 0
19950830 1194 0
19950831 1195 0
19950901 1196 0
19950904 1197 0
19950905 1198 0
19950906 1199 0
19950907 1200 0 0
19950908 1201 0
19950911 1202 0
19950912 1203 0
19950913 1204 0
19950914 1205 0
19950915 1206 0
19950918 1207 0
19950919 1208 0
19950920 1209 0
19950921 1210 0
19950922 1211 0
19950925 1212 0
19950926 1213 0
19950927 1214 0
19950928 1215 0
19950929 1216 0
19951004 1217 0
19951005 1218 0
19951006 1219 0
19951009 1220 0
19951010 1221 0
19951011 1222 0
19951012 1223 0
19951013 1224 0
19951016 1225 0
19951017 1226 0
19951018 1227 0
19951019 1228 0
19951020 1229 0
19951023 1230 0
19951024 1231 0
19951025 1232 0
19951026 1233
19951027 1234
19951030 1235
19951031 1236
19951101 1237
19951102 1238 0
19951103 1239 0
19951106 1240 0
19951107 1241 0
19951108 1242 0
19951109 1243 0
19951110 1244 0
19951113 1245 0
19951114 1246 0 0
19951115 1247 0
19951116 1248 0
19951117 1249 0
19951120 1250 0
19951121 1251 0
19951122 1252 0
19951123 1253 0
19951124 1254 0
19951127 1255 0
19951128 1256 0
19951129 1257 0
19951130 1258 0
19951201 1259 0
19951204 1260 0
19951205 1261 0
19951206 1262 0
19951207 1263 0
19951208 1264 0
19951211 1265 0
19951212 1266 0
19951213 1267 0
19951214 1268 0
19951215 1269 0
19951218 1270 0
19951219 1271 -0 0
19951220 1272 0
19951221 1273 0
19951222 1274 0
19951225 1275 0
19951226 1276 0
19951227 1277 0
19951228 1278 0
19951229 1279 0
19960102 1280 0
19960103 1281 0
19960104 1282 0
19960105 1283 0
19960108 1284
19960109 1285
19960110 1286
19960111 1287
19960112 1288
19960115 1289 0
19960116 1290 0
19960117 1291 0
19960118 1292 0
19960119 1293
19960122 1294 0
19960123 1295 0
19960124 1296 0
19960125 1297 0
19960126 1298 0
19960129 1299 0
19960130 1300 0
19960131 1301 0
19960201 1302 0
19960202 1303 0
19960205 1304 0
19960206 1305 0
19960207 1306 0
19960208 1307 0
19960209 1308 0
19960212 1309 0
19960213 1310 0
19960214 1311 0
19960215 1312 0
19960216 1313 0
19960304 1314 0
19960305 1315
19960306 1316
19960307 1317
19960308 1318
19960311 1319
19960312 1320
19960313 1321
19960314 1322
19960315 1323 0 0
19960318 1324 0
19960319 1325 0
19960320 1326 0
19960321 1327 0 0
19960322 1328 0
19960325 1329 0 0
19960326 1330 0
19960327 1331 0
19960328 1332 0
19960329 1333 0
19960401 1334 0
19960402 1335 0
19960403 1336 0
19960404 1337 0
19960405 1338 0
19960408 1339 0
19960409 1340 0
19960410 1341 0
19960411 1342 0
19960412 1343 0
19960415 1344 0
19960416 1345 0
19960417 1346 0
19960418 1347 0
19960419 1348 0
19960422 1349 0
19960423 1350 0
19960424 1351 0
19960425 1352
19960426 1353
19960429 1354
19960430 1355
19960502 1356
19960503 1357
19960506 1358
19960507 1359
19960508 1360 0
19960509 1361
19960510 1362
19960513 1363
19960514 1364
19960515 1365 0
19960516 1366
19960517 1367 0
19960520 1368
19960521 1369
19960522 1370
19960523 1371
19960524 1372
19960527 1373
19960528 1374
19960529 1375
19960530 1376 0
19960531 1377 0
19960603 1378 0
19960604 1379 0
19960605 1380 0
19960606 1381
19960607 1382
19960610 1383
19960611 1384
19960612 1385
19960613 1386
19960614 1387
19960617 1388 752
19960618 1389
19960619 1390
19960620 1391
19960621 1392
19960624 1393
19960625 1394 0
19960626 1395 0
19960627 1396
19960628 1397 0
19960701 1398 0
19960702 1399
19960703 1400
19960704 1401
19960705 1402 -0
19960708 1403
19960709 1404
19960710 1405 0
19960711 1406 0
19960712 1407
19960715 1408 0
19960716 1409 0
19960717 1410
19960718 1411
19960719 1412
19960722 1413
19960723 1414
19960724 1415
19960725 1416
19960726 1417
19960729 1418
19960730 1419
19960731 1420
19960801 1421
19960802 1422 0
19960805 1423 0
19960806 1424 0
19960807 1425 0
19960808 1426 0
19960809 1427 0
19960812 1428 0
19960813 1429 0
19960814 1430 0
19960815 1431 0
19960816 1432 0
19960819 1433 0
19960820 1434 0
19960821 1435 0
19960822 1436 0
19960823 1437 0
19960826 1438 0
19960827 1439
19960828 1440
19960829 1441 0
19960830 1442 0
19960902 1443 0
19960903 1444 0
19960904 1445 0
19960905 1446 0
19960906 1447 0
19960909 1448 0
19960910 1449 0
19960911 1450 0
19960912 1451 0
19960913 1452 0
19960916 1453 0
19960917 1454 0
19960918 1455 0
19960919 1456 0
19960920 1457 0
19960923 1458
19960924 1459
19960925 1460
19960926 1461
19960927 1462
19961003 1463
19961004 1464
19961007 1465
19961008 1466 0
19961009 1467 0
19961010 1468 0
19961011 1469
19961014 1470 0
19961015 1471
19961016 1472 0
19961017 1473 0
19961018 1474 0
19961021 1475 0
19961022 1476 0
19961023 1477 0
19961024 1478
19961025 1479 0
19961028 1480 0
19961029 1481 0
19961030 1482 0
19961031 1483
19961101 1484
19961104 1485
19961105 1486
19961106 1487
19961107 1488
19961108 1489
19961111 1490 0
19961112 1491 0
19961113 1492 0
19961114 1493 0
19961115 1494 0
19961118 1495 0
19961119 1496
19961120 1497
19961121 1498
19961122 1499
19961125 1500
19961126 1501
19961127 1502
19961128 1503
19961129 1504
19961202 1505
19961203 1506
19961204 1507
19961205 1508
19961206 1509
19961209 1510
19961210 1511
19961211 1512
19961212 1513
19961213 1514
19961216 1515
19961217 1516
19961218 1517
19961219 1518
19961220 1519
19961223 1520
19961224 1521
19961225 1522
19961226 1523
19961227 1524
19961230 1525
19961231 1526
19970102 1527
19970103 1528
19970106 1529
19970107 1530
19970108 1531
19970109 1532
19970110 1533 0
19970113 1534 0
19970114 1535 0
19970115 1536 0
19970116 1537 0
19970117 1538 0
19970120 1539 0
19970121 1540 0
19970122 1541 0
19970123 1542 0
19970124 1543 0
19970127 1544 0
19970128 1545 0
19970129 1546 0
19970130 1547 0
19970131 1548 0
19970217 1549 0
19970218 1550 0
19970219 1551
19970220 1552
19970221 1553
19970224 1554
19970225 1555
19970226 1556
19970227 1557
19970228 1558
19970303 1559
19970304 1560
19970305 1561
19970306 1562 0
19970307 1563
19970310 1564 0
19970311 1565 0
19970312 1566 0
19970313 1567 0
19970314 1568 0
19970317 1569 0
19970318 1570 0
19970319 1571 0
19970320 1572 0
19970321 1573 0
19970324 1574
19970325 1575
19970326 1576
19970327 1577 0
19970328 1578 0
19970331 1579 0
19970401 1580 0
19970402 1581 0
19970403 1582 0
19970404 1583 0
19970407 1584 0
19970408 1585 0
19970409 1586 0
19970410 1587 0
19970411 1588 0
19970414 1589 0
19970415 1590 0
19970416 1591 0
19970417 1592 0
19970418 1593 0
19970421 1594 0
19970422 1595 0
19970423 1596 0
19970424 1597 0
19970425 1598 0
19970428 1599 0
19970429 1600 0
19970430 1601 0
19970505 1602 0
19970506 1603
19970507 1604
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20010910 2657 0
20010911 2658 0
20010912 2659 0
20010913 2660 0
20010914 2661 0
20010917 2662 0
20010918 2663 0
20010919 2664 0
20010920 2665 0
20010921 2666 0
20010924 2667 0
20010925 2668 0
20010926 2669 0
20010927 2670 0
20010928 2671 -0 0
20011008 2672 0
20011009 2673 0
20011010 2674 0
20011011 2675 0
20011012 2676
20011015 2677
20011016 2678
20011017 2679 0
20011018 2680 0
20011019 2681 0
20011022 2682 0
20011023 2683
20011024 2684
20011025 2685
20011026 2686
20011029 2687
20011030 2688
20011031 2689
20011101 2690
20011102 2691
20011105 2692
20011106 2693 0
20011107 2694 0
20011108 2695
20011109 2696
20011112 2697
20011113 2698 0
20011114 2699 0
20011115 2700 0
20011116 2701 0
20011119 2702 0
20011120 2703 0
20011121 2704 0
20011122 2705 0
20011123 2706 0
20011126 2707 0
20011127 2708 0
20011128 2709 1735 0
20011129 2710 0
20011130 2711 0
20011203 2712 0
20011204 2713 0
20011205 2714 0
20011206 2715 0
20011207 2716 0
20011210 2717 0
20011211 2718 0
20011212 2719 0
20011213 2720 0
20011214 2721 0
20011217 2722 0
20011218 2723 0
20011219 2724 0
20011220 2725 0
20011221 2726 0
20011224 2727 0
20011225 2728 0
20011226 2729 0
20011227 2730 0
20011228 2731 0
20011231 2732 0
0 小计 11,
GARCH(1,1)VT
0
0
0
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0
EWMA
波动率估计：EWMA
第几个交易日 上证收盘指数 指数回报率 方差率 波动率 最大化目标函数（概率）
交易日期 Day i Si ui Vi σi "-LN(Vi)-ui^2/Vi" ω α β 年波动率
0
19950601 1130
19950602 1131
19950605 1132
19950606 1133
19950607 1134
19950608 1135
19950609 1136
19950612 1137
19950613 1138 0
19950614 1139
19950615 1140
19950616 1141 -0
19950619 1142
19950620 1143
19950621 1144
19950622 1145
19950623 1146
19950626 1147
19950627 1148
19950628 1149
19950629 1150
19950630 1151
19950703 1152
19950704 1153
19950705 1154 0
19950706 1155
19950707 1156 0
19950710 1157
19950711 1158
19950712 1159 -0
19950713 1160
19950714 1161 0
19950717 1162 0
19950718 1163
19950719 1164
19950720 1165
19950721 1166
19950724 1167
19950725 1168
19950726 1169
19950727 1170
19950728 1171
19950731 1172 0
19950801 1173 0
19950802 1174 0
19950803 1175 0
19950804 1176 0
19950807 1177 0
19950808 1178 0
19950809 1179 0
19950810 1180 0
19950811 1181 0
19950814 1182 0
19950815 1183 0
19950816 1184
19950817 1185
19950818 1186 0
19950821 1187 0
19950822 1188 0
19950823 1189 0
19950824 1190 0
19950825 1191 0
19950828 1192 0
19950829 1193 0
19950830 1194 0
19950831 1195 0
19950901 1196 0
19950904 1197 0
19950905 1198 0
19950906 1199 0
19950907 1200 0 0
19950908 1201 0
19950911 1202 0
19950912 1203 0
19950913 1204 0
19950914 1205 0
19950915 1206 0
19950918 1207 0
19950919 1208 0
19950920 1209 0
19950921 1210 0
19950922 1211 0
19950925 1212 0
19950926 1213 0
19950927 1214 0
19950928 1215 0
19950929 1216 0
19951004 1217 0
19951005 1218 0
19951006 1219 0
19951009 1220 0
19951010 1221 0
19951011 1222 0
19951012 1223 0
19951013 1224 0
19951016 1225 0
19951017 1226 0
19951018 1227 0
19951019 1228 0
19951020 1229 0
19951023 1230 0
19951024 1231 0
19951025 1232 0
19951026 1233 0
19951027 1234 0
19951030 1235 0
19951031 1236 0
19951101 1237 0
19951102 1238 0
19951103 1239 0
19951106 1240 0
19951107 1241 0
19951108 1242 0
19951109 1243 0
19951110 1244 0
19951113 1245 0
19951114 1246 0 0
19951115 1247 0
19951116 1248 0
19951117 1249 0
19951120 1250 0
19951121 1251 0
19951122 1252 0
19951123 1253 0
19951124 1254 0
19951127 1255 0
19951128 1256 0
19951129 1257 0
19951130 1258 0
19951201 1259 0
19951204 1260 0
19951205 1261 0
19951206 1262 0
19951207 1263 0
19951208 1264 0
19951211 1265 0
19951212 1266 0
19951213 1267 0
19951214 1268 0
19951215 1269 0
19951218 1270 0
19951219 1271 -0 0
19951220 1272 0
19951221 1273 0
19951222 1274 0
19951225 1275 0
19951226 1276 0
19951227 1277 0
19951228 1278 0
19951229 1279 0
19960102 1280 0
19960103 1281 0
19960104 1282 0
19960105 1283 0
19960108 1284 0
19960109 1285 0
19960110 1286 0
19960111 1287 0
19960112 1288 0
19960115 1289 0
19960116 1290 0
19960117 1291 0
19960118 1292 0
19960119 1293 0
19960122 1294 0
19960123 1295 0
19960124 1296 0
19960125 1297 0
19960126 1298 0
19960129 1299 0
19960130 1300 0
19960131 1301 0
19960201 1302 0
19960202 1303 0
19960205 1304 0
19960206 1305 0
19960207 1306 0
19960208 1307 0
19960209 1308 0
19960212 1309 0
19960213 1310 0
19960214 1311 0
19960215 1312 0
19960216 1313 0
19960304 1314 0
19960305 1315
19960306 1316
19960307 1317
19960308 1318
19960311 1319
19960312 1320
19960313 1321
19960314 1322
19960315 1323 0
19960318 1324
19960319 1325 0
19960320 1326 0
19960321 1327 0 0
19960322 1328 0
19960325 1329 0 0
19960326 1330 0
19960327 1331 0
19960328 1332 0
19960329 1333 0
19960401 1334 0
19960402 1335 0
19960403 1336 0
19960404 1337 0
19960405 1338 0
19960408 1339 0
19960409 1340 0
19960410 1341 0
19960411 1342 0
19960412 1343 0
19960415 1344 0
19960416 1345 0
19960417 1346 0
19960418 1347 0
19960419 1348 0
19960422 1349 0
19960423 1350 0
19960424 1351 0
19960425 1352
19960426 1353
19960429 1354
19960430 1355
19960502 1356
19960503 1357
19960506 1358
19960507 1359
19960508 1360 0
19960509 1361
19960510 1362
19960513 1363
19960514 1364
19960515 1365
19960516 1366
19960517 1367
19960520 1368
19960521 1369
19960522 1370
19960523 1371
19960524 1372
19960527 1373
19960528 1374
19960529 1375
19960530 1376
19960531 1377
19960603 1378
19960604 1379
19960605 1380
19960606 1381
19960607 1382
19960610 1383
19960611 1384
19960612 1385
19960613 1386
19960614 1387
19960617 1388 752
19960618 1389
19960619 1390
19960620 1391
19960621 1392
19960624 1393
19960625 1394
19960626 1395
19960627 1396
19960628 1397
19960701 1398
19960702 1399
19960703 1400
19960704 1401
19960705 1402 -0
19960708 1403
19960709 1404
19960710 1405
19960711 1406
19960712 1407
19960715 1408
19960716 1409 4
19960717 1410
19960718 1411
19960719 1412
19960722 1413
19960723 1414
19960724 1415
19960725 1416
19960726 1417
19960729 1418
19960730 1419
19960731 1420
19960801 1421
19960802 1422
19960805 1423
19960806 1424 0
19960807 1425 0
19960808 1426 0
19960809 1427 0
19960812 1428 0
19960813 1429 0
19960814 1430 0
19960815 1431 0
19960816 1432 0
19960819 1433 0
19960820 1434 0
19960821 1435 0
19960822 1436 0
19960823 1437 0
19960826 1438 0
19960827 1439 0
19960828 1440 0
19960829 1441 0
19960830 1442 0
19960902 1443 0
19960903 1444 0
19960904 1445 0
19960905 1446 0
19960906 1447 0
19960909 1448 0
19960910 1449 0
19960911 1450 0
19960912 1451 0
19960913 1452 0
19960916 1453 0
19960917 1454 0
19960918 1455 0
19960919 1456 0
19960920 1457 0
19960923 1458 0
19960924 1459
19960925 1460
19960926 1461
19960927 1462
19961003 1463
19961004 1464
19961007 1465
19961008 1466 0
19961009 1467 0
19961010 1468 0
19961011 1469 0
19961014 1470 0
19961015 1471
19961016 1472 0
19961017 1473 0
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20010319 2537 0
20010320 2538 0
20010321 2539 0
20010322 2540 0
20010323 2541 0
20010326 2542 0
20010327 2543 0
20010328 2544 -0 0
20010329 2545 0
20010330 2546 0
20010402 2547 0
20010403 2548 0
20010404 2549 0
20010405 2550 0
20010406 2551 0
20010409 2552 0
20010410 2553 0
20010411 2554 0
20010412 2555 0
20010413 2556 0
20010416 2557 0
20010417 2558 0
20010418 2559 0
20010419 2560 0 0
20010420 2561 0
20010423 2562 0
20010424 2563 0
20010425 2564 0
20010426 2565 0
20010427 2566 0
20010430 2567 0
20010508 2568 0
20010509 2569 0
20010510 2570 0
20010511 2571 0
20010514 2572 0
20010515 2573 0
20010516 2574 0
20010517 2575 0
20010518 2576 0
20010521 2577 0
20010522 2578 0
20010523 2579 0
20010524 2580 0 0
20010525 2581 0
20010528 2582 0
20010529 2583 0 0
20010530 2584 0
20010531 2585 0
20010601 2586 0
20010604 2587 0
20010605 2588 0
20010606 2589 0
20010607 2590 0
20010608 2591 0
20010611 2592 0
20010612 2593 0
20010613 2594 0
20010614 2595 0
20010615 2596 0
20010618 2597 0
20010619 2598 0
20010620 2599 0
20010621 2600 0
20010622 2601 0
20010625 2602 0
20010626 2603 0
20010627 2604 0
20010628 2605 0
20010629 2606 0
20010702 2607 0
20010703 2608 0
20010704 2609 0
20010705 2610 0
20010706 2611 0
20010709 2612 -0 0
20010710 2613 0
20010711 2614 0
20010712 2615 0
20010713 2616 0
20010716 2617 0
20010717 2618 0
20010718 2619 0
20010719 2620 0
20010720 2621 0
20010723 2622 0
20010724 2623 0
20010725 2624 0
20010726 2625 0
20010727 2626 0
20010730 2627 0
20010731 2628 0
20010801 2629 0
20010802 2630 0
20010803 2631 0
20010806 2632 0
20010807 2633 0
20010808 2634 0
20010809 2635 0
20010810 2636 0
20010813 2637 0 0
20010814 2638 0
20010815 2639 0
20010816 2640 0
20010817 2641 1924 0
20010820 2642 0
20010821 2643 0
20010822 2644 0
20010823 2645 -0 0
20010824 2646 0
20010827 2647 0
20010828 2648 0
20010829 2649 0
20010830 2650 0
20010831 2651 0
20010903 2652 0
20010904 2653 0
20010905 2654 0
20010906 2655 0
20010907 2656 0
20010910 2657 0
20010911 2658 0
20010912 2659 0
20010913 2660 0
20010914 2661 0
20010917 2662 0
20010918 2663 0
20010919 2664 0
20010920 2665 0
20010921 2666 0
20010924 2667 0
20010925 2668 0
20010926 2669 0
20010927 2670 0
20010928 2671 -0 0
20011008 2672 0
20011009 2673 0
20011010 2674 0
20011011 2675 0
20011012 2676 0
20011015 2677 0
20011016 2678 0
20011017 2679 0
20011018 2680 0
20011019 2681 0
20011022 2682 0
20011023 2683 0
20011024 2684
20011025 2685
20011026 2686
20011029 2687
20011030 2688
20011031 2689
20011101 2690
20011102 2691
20011105 2692
20011106 2693
20011107 2694
20011108 2695
20011109 2696
20011112 2697
20011113 2698
20011114 2699
20011115 2700 0
20011116 2701 0
20011119 2702 0
20011120 2703 0
20011121 2704 0
20011122 2705 0
20011123 2706 0
20011126 2707 0 8
20011127 2708 0
20011128 2709 1735 0
20011129 2710 0
20011130 2711 0
20011203 2712 0
20011204 2713 0
20011205 2714 0
20011206 2715 0
20011207 2716 0
20011210 2717 0
20011211 2718 0
20011212 2719 0
20011213 2720 0
20011214 2721 0
20011217 2722 0
20011218 2723 0
20011219 2724 0
20011220 2725 0
20011221 2726 0
20011224 2727 0
20011225 2728 0
20011226 2729 0
20011227 2730 0
20011228 2731 0
20011231 2732 0
0 小计 11,
EWMA
波动率的期限结构
波动率的期限结构
输入
ω α β V 长期年波动率 第0天年波动率1 第0天年波动率2
输出
根据GARCH(1,1)预测的上证指数波动率期限结构
符号 天数 第i天的方差率1 第i天的方差率2 期权有效期（天） 10 30 50 100 500
V0 0 0 期权波动率（％年）1
E(V1) 1 0 0 期权波动率（％年）2
E(V2) 2 0 0 初始波动率增加10％的效应
E(V3) 3 0 0 长期年波动率
E(V4) 4 0 0
E(V5) 5 0 0
E(V6) 6 0 0
E(V7) 7 0 0
E(V8) 8 0
E(V9) 9 0
E(V10) 10 0
E(V11) 11 0
E(V12) 12 0
E(V13) 13 0
E(V14) 14
E(V15) 15
E(V16) 16
E(V17) 17
E(V18) 18
E(V19) 19
E(V20) 20
E(V21) 21
E(V22) 22
E(V23) 23
E(V24) 24
E(V25) 25
E(V26) 26
E(V27) 27
E(V28) 28
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E(V30) 30
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E(V32) 32
E(V33) 33
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E(V115) 115
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E(V500) 500
波动率的期限结构
0 0 0
0 0 0
0 0 0
0 0 0
0 0 0
