char05SAS金融应用程序举例.doc

《char05SAS金融应用程序举例.doc》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、5.2.2单个股票波动率计算日对数收益率计算：optionsnodatenonotesnosource;datalog_ret(keep=date);setstoindiv.a1a0001;where1995<=year(date)<=2000;%macroa(x);dataa(keep=dater_1);setstoindiv.a&x;where1995<=year(date)<=2000;r_1=log(clpr)-log(lag(clpr));clpr_1=clpr*(1+divrat+rigrat+reisvol/lag(shrout))-rigpr*rigrat-reis

2、pr*reisvol/lag(shrout)+divamt;ifclpr_1=.thenclpr_1=clpr;r_2=log(clpr_1)-log(lag(clpr_1));ifexdt=.thenr_2=0;ifexdt^=.thenr_1=0;r_1=r_1+r_2;ifr_1=.thenr_1=0;elser_1=r_1;datalog_ret(rename=(r_1=r&x));mergelog_reta;bydate;datalog_ret;setlog_ret;ifr&x=.thenr&x=0;elser&x=r&x;rr&x=r&x**2;%menda;%a(1a

3、0001);%a(600652);run;简单加权移动平均(SMA)计算的波动率：procsortdata=log_ret;bydate;datasma(keep=date);setlog_ret;%macroa(x);dataa;setlog_ret;sum+rr&x;datab(keep=datesma&x);mergeaa(firstobs=21rename=(sum=sum_1));sma&x=(sum_1-sum)/(20-1);/*这里计算的是20天移动平均*/sma&x=sqrt(sma&x);procsortdata=b;bydate;datasma;mergesm

4、ab;bydate;ifsma&x=.thendelete;%menda;%a(1a0001);%a(600652);run;指数加权(EWMA)计算的波动率：方法一：dataewma(keep=date);setlog_retnobs=nobs;aaa=nobs;callsymput('n',aaa);/*创建宏变量n,将数据集log_ret中观测值个数赋于它*/%macroa(x);dataa(keep=dateewma&x);setlog_ret;if_n_=2thenewma&x=rr&x;i_1=lag(ewma&x);%doi=3%to%eval(&n);if_n_=&

5、ithenewma&x=.94*i_1+(1-.94)*rr&x;i_1=lag(ewma&x);%end;ewma&x=sqrt(ewma&x);dataewma;mergeewmaa;bydate;%menda;%a(1a0001);%a(600652);run;方法二：datab;setlog_ret;if_n_=1thendelete;/*删除第一个全为0的观测值*/datastoindiv.ewma(keep=date);setb;%macroa(x);dataa(keep=dateewma&x);setb;w=0.94;/*指数平滑权*/retainewma&x;/*序

6、列的初始值*/if_n_=1thenewma&x=rr&x;/*单指数平滑*/elseewma&x=w*rr&x+(1-w)*ewma&x;ewma&x=sqrt(ewma&x);datastoindiv.ewma;mergestoindiv.ewmaa;bydate;%menda;%a(1a0001);%a(600652);run;GARCH(1,1)计算的波动率：datagarch(keep=date);setlog_ret;%macroa(x);procautoregdata=log_ret;modelr&x=/nlag=1garch=(q=1,p=1,tr);outputo

7、ut=outcev=cev;dataout(keep=datecev&x);setout;cev&x=sqrt(cev);datagarch;mergegarchout;bydate;%menda;%a(1a0001);%a(600652);run;5.2.3三种模型结果比较将上述三种模型计算的收益波动率全并在一个数据集C中：datac;mergesmaewmagarch;bydate;run;分别画出1995~2000年，股票600652（爱使股份）和上证指数各自的