Estimation Of Beta Coefficient And Empirical Analysis Of ST Plate

Based on the risk variability,the time-varying least squares estimation of the coefficients is given.On this basis,a new estimation method of exponential-exponentially weighted smoothing time-varying estimation is proposed based on the timing of data.Two kinds of exponential weighted smoothing time-varying estimators EWMA-I and EWMA-II are obtained by two kinds of attenuation factor optimization methods based on the stock pricing function selection attenuation factor and the attenuation factor based on the estimation level selection.Based on the ST plate index data of China stock market from August 2014 to March 2017,empirical analysis was carried out.First of all,the ST securities structure for statistical analysis.Second,the three periods of time to test the market weakness of the ST plate.Finally,the empirical analysis of CAPM pricing theory is discussed:the applicability of single-index CAPM model is tested.Three kinds of coefficient estimation are given.Based on the statistical analysis of one-step prediction of CAPM pricing theory,good results with theoretical and practical value are obtained.Based on the CSI 300 index and the ST plate index from June 2000 to March 2017,the ST plate is used as the product,the Shanghai and Shenzhen 300 as the market,the Granger causality analysis and analysis,it is estimated that the ST plate on the Shanghai and Shenzhen 300(motherboard market)Of the coefficient,which analyzed the ST plate and the motherboard market relevance.