本文主要研究内容
作者薛世奇（2019）在《沪深300指数波动性预测能力的比较研究——基于CARR与GARCH类模型》一文中研究指出：近些年来,随着金融全球化进展的加快,我国金融市场迅速发展的同时也受到各种政策的变化和信息的冲击,且金融工具的品种和交易速率也增长迅猛,这些都大幅加剧了我国金融市场的风险和波动性,因此如何准确地刻画与预测金融市场的波动性就显得尤为重要。众多学者构造了很多复杂的金融模型期望能够更好地估计波动性,其中Engle提出的自回归条件异方差(ARCH)模型将波动性的拟合迈进了一个新的阶段,能够很好地刻画金融市场中波动性集群的现象。随后他的学生Bollerslev对其进行了改进,提出广义自回归条件异方差(GARCH)模型,使其仅需要很少的滞后阶数便能够拟合异方差长期的自相关过程,经研究发现GARCH模型对一般风险性的度量比较准确。但是随着金融全球化的进展,金融危机也是频繁发生,如欧洲汇率体系危机、席卷全球的美国次贷危机等等,频繁发生的金融危机主要是因为对于极端条件下的金融市场的波动性估计的刻画不准确,也缺乏相对应的风险措施。所以如何有效地度量,控制极端情况下的金融风险已然成为金融研究的一项重要课题。Chou将极差与GARCH模型相结合创新性地提出条件自回归极差(CARR)模型,经研究发现该模型确实能够较好地描述极端情况下的金融市场的波动性,且其对极端情形下的风险度量比较准确。在金融市场中,有许多事件均显示出收益率有时会出现剧烈跳跃性的波动,资产收益性的跳跃性具有很大的危害,由于它的随机性和剧烈性往往会导致投资机构或个人产生巨大的损失,严重者会发生破产,更有甚者会导致金融市场的崩溃从而影响社会的稳定性,因此本文使用GARCH-Jump模型对传统的GARCH模型进行了改进来刻画收益率跳跃的特性。随后使用在险价值(VaR)来度量并比较这些模型下的风险。由于沪深300指数能够揭示市场股票价格的变动,也能反映市场整体走势,因此本文采用沪深300指数这14年的日收盘价,日最低价和日最高价来计算收益率和极差,用前13年的数据建立GARCH模型、GARCH-Jump模型和CARR模型,之后用最后一年的数据分别对建立好的模型在不同置信水平下计算其对应的VaR。本文旨在探讨不同模型对于沪深300指数波动性的估计、预测,并比较模型对波动性估计的优良性,用VaR来对不同模型下的风险进行比较,对于预测和刻画沪深股票市场的波动性,反映、控制和防范股票市场的风险程度提供一定的参考依据。本文主要从三方面进行研究:(1)传统GARCH模型、GARCH-Jump模型、和CARR模型对沪深300指数波动性的估计和预测。(2)基于GARCH-Jump模型和传统GARCH模型及CARR模型对沪深300指数波动性的预测的比较分析。(3)基于这些模型下的VaR计算结果比较其对沪深股市风险估计的准确性和高效性。本文通过以上三个方面的研究得出以下几个结论:(1)在置信水平95%的情形下,基于GARCH模型下沪深300指数收益率的VaR失败率普遍小于5%,在置信水平99%的情形下,GARCH模型下的VaR失败率普遍大于1%,可以得出GARCH模型刻画的只是沪深股市中的一般情形下的风险,其中描述沪深股市风险的比较准确的的是MGARCH-GED。(2)在置信水平95%的情形下,基于调整后的GARCH-Jump模型下沪深300指数收益率的VaR失败率很接近5%,对沪深股市风险刻画很准确。在置信水平99%的情形下,GARCH-Jump模型下的VaR失败率大于1%,可能原因是此模型跳跃强度参数还是没有很准确地提取出价格变动的跳跃。(3)在置信水平95%的情形下,基于CARR-W模型下沪深300指数极差的VaR失败率很接近5%,对沪深股市风险刻画很准确。但是在99%的置信水平下CARR-W模型下极差VaR对沪深股市风险刻画偏差比较大。CARR-E在置信水平为95%和99%失败率仅仅只有1.64%和0.41%,严重高估了风险,原因是指数分布没有记忆性,分布的尾部呈指数型衰减,也是典型的非厚尾分布,因此不能准确地估计金融时间序列的厚尾特性。之后通过计算CARR模型的似然函数值大于GARCH类、GARCH-Jump模型,MAE和RMSE均小于GARCH类和GARCH-Jump模型,得出CARR模型对样本外的预测比较准确。(4)综合来看用GARCHM-GED或者调整后的GARCH-Jump用来度量沪深股市中的一般风险比较合理,而CARR模型用于度量沪深股市中极端情形下的风险比较合理。总的来说,这三种模型都能够有效地控制和管理沪深股市中的风险。
Abstract
jin xie nian lai ,sui zhao jin rong quan qiu hua jin zhan de jia kuai ,wo guo jin rong shi chang xun su fa zhan de tong shi ye shou dao ge chong zheng ce de bian hua he xin xi de chong ji ,ju jin rong gong ju de pin chong he jiao yi su lv ye zeng chang xun meng ,zhe xie dou da fu jia ju le wo guo jin rong shi chang de feng xian he bo dong xing ,yin ci ru he zhun que de ke hua yu yu ce jin rong shi chang de bo dong xing jiu xian de you wei chong yao 。zhong duo xue zhe gou zao le hen duo fu za de jin rong mo xing ji wang neng gou geng hao de gu ji bo dong xing ,ji zhong Engledi chu de zi hui gui tiao jian yi fang cha (ARCH)mo xing jiang bo dong xing de ni ge mai jin le yi ge xin de jie duan ,neng gou hen hao de ke hua jin rong shi chang zhong bo dong xing ji qun de xian xiang 。sui hou ta de xue sheng Bollerslevdui ji jin hang le gai jin ,di chu an yi zi hui gui tiao jian yi fang cha (GARCH)mo xing ,shi ji jin xu yao hen shao de zhi hou jie shu bian neng gou ni ge yi fang cha chang ji de zi xiang guan guo cheng ,jing yan jiu fa xian GARCHmo xing dui yi ban feng xian xing de du liang bi jiao zhun que 。dan shi sui zhao jin rong quan qiu hua de jin zhan ,jin rong wei ji ye shi pin fan fa sheng ,ru ou zhou hui lv ti ji wei ji 、xi juan quan qiu de mei guo ci dai wei ji deng deng ,pin fan fa sheng de jin rong wei ji zhu yao shi yin wei dui yu ji duan tiao jian xia de jin rong shi chang de bo dong xing gu ji de ke hua bu zhun que ,ye que fa xiang dui ying de feng xian cuo shi 。suo yi ru he you xiao de du liang ,kong zhi ji duan qing kuang xia de jin rong feng xian yi ran cheng wei jin rong yan jiu de yi xiang chong yao ke ti 。Choujiang ji cha yu GARCHmo xing xiang jie ge chuang xin xing de di chu tiao jian zi hui gui ji cha (CARR)mo xing ,jing yan jiu fa xian gai mo xing que shi neng gou jiao hao de miao shu ji duan qing kuang xia de jin rong shi chang de bo dong xing ,ju ji dui ji duan qing xing xia de feng xian du liang bi jiao zhun que 。zai jin rong shi chang zhong ,you hu duo shi jian jun xian shi chu shou yi lv you shi hui chu xian ju lie tiao yue xing de bo dong ,zi chan shou yi xing de tiao yue xing ju you hen da de wei hai ,you yu ta de sui ji xing he ju lie xing wang wang hui dao zhi tou zi ji gou huo ge ren chan sheng ju da de sun shi ,yan chong zhe hui fa sheng po chan ,geng you shen zhe hui dao zhi jin rong shi chang de beng hui cong er ying xiang she hui de wen ding xing ,yin ci ben wen shi yong GARCH-Jumpmo xing dui chuan tong de GARCHmo xing jin hang le gai jin lai ke hua shou yi lv tiao yue de te xing 。sui hou shi yong zai xian jia zhi (VaR)lai du liang bing bi jiao zhe xie mo xing xia de feng xian 。you yu hu shen 300zhi shu neng gou jie shi shi chang gu piao jia ge de bian dong ,ye neng fan ying shi chang zheng ti zou shi ,yin ci ben wen cai yong hu shen 300zhi shu zhe 14nian de ri shou pan jia ,ri zui di jia he ri zui gao jia lai ji suan shou yi lv he ji cha ,yong qian 13nian de shu ju jian li GARCHmo xing 、GARCH-Jumpmo xing he CARRmo xing ,zhi hou yong zui hou yi nian de shu ju fen bie dui jian li hao de mo xing zai bu tong zhi xin shui ping xia ji suan ji dui ying de VaR。ben wen zhi zai tan tao bu tong mo xing dui yu hu shen 300zhi shu bo dong xing de gu ji 、yu ce ,bing bi jiao mo xing dui bo dong xing gu ji de you liang xing ,yong VaRlai dui bu tong mo xing xia de feng xian jin hang bi jiao ,dui yu yu ce he ke hua hu shen gu piao shi chang de bo dong xing ,fan ying 、kong zhi he fang fan gu piao shi chang de feng xian cheng du di gong yi ding de can kao yi ju 。ben wen zhu yao cong san fang mian jin hang yan jiu :(1)chuan tong GARCHmo xing 、GARCH-Jumpmo xing 、he CARRmo xing dui hu shen 300zhi shu bo dong xing de gu ji he yu ce 。(2)ji yu GARCH-Jumpmo xing he chuan tong GARCHmo xing ji CARRmo xing dui hu shen 300zhi shu bo dong xing de yu ce de bi jiao fen xi 。(3)ji yu zhe xie mo xing xia de VaRji suan jie guo bi jiao ji dui hu shen gu shi feng xian gu ji de zhun que xing he gao xiao xing 。ben wen tong guo yi shang san ge fang mian de yan jiu de chu yi xia ji ge jie lun :(1)zai zhi xin shui ping 95%de qing xing xia ,ji yu GARCHmo xing xia hu shen 300zhi shu shou yi lv de VaRshi bai lv pu bian xiao yu 5%,zai zhi xin shui ping 99%de qing xing xia ,GARCHmo xing xia de VaRshi bai lv pu bian da yu 1%,ke yi de chu GARCHmo xing ke hua de zhi shi hu shen gu shi zhong de yi ban qing xing xia de feng xian ,ji zhong miao shu hu shen gu shi feng xian de bi jiao zhun que de de shi MGARCH-GED。(2)zai zhi xin shui ping 95%de qing xing xia ,ji yu diao zheng hou de GARCH-Jumpmo xing xia hu shen 300zhi shu shou yi lv de VaRshi bai lv hen jie jin 5%,dui hu shen gu shi feng xian ke hua hen zhun que 。zai zhi xin shui ping 99%de qing xing xia ,GARCH-Jumpmo xing xia de VaRshi bai lv da yu 1%,ke neng yuan yin shi ci mo xing tiao yue jiang du can shu hai shi mei you hen zhun que de di qu chu jia ge bian dong de tiao yue 。(3)zai zhi xin shui ping 95%de qing xing xia ,ji yu CARR-Wmo xing xia hu shen 300zhi shu ji cha de VaRshi bai lv hen jie jin 5%,dui hu shen gu shi feng xian ke hua hen zhun que 。dan shi zai 99%de zhi xin shui ping xia CARR-Wmo xing xia ji cha VaRdui hu shen gu shi feng xian ke hua pian cha bi jiao da 。CARR-Ezai zhi xin shui ping wei 95%he 99%shi bai lv jin jin zhi you 1.64%he 0.41%,yan chong gao gu le feng xian ,yuan yin shi zhi shu fen bu mei you ji yi xing ,fen bu de wei bu cheng zhi shu xing cui jian ,ye shi dian xing de fei hou wei fen bu ,yin ci bu neng zhun que de gu ji jin rong shi jian xu lie de hou wei te xing 。zhi hou tong guo ji suan CARRmo xing de shi ran han shu zhi da yu GARCHlei 、GARCH-Jumpmo xing ,MAEhe RMSEjun xiao yu GARCHlei he GARCH-Jumpmo xing ,de chu CARRmo xing dui yang ben wai de yu ce bi jiao zhun que 。(4)zeng ge lai kan yong GARCHM-GEDhuo zhe diao zheng hou de GARCH-Jumpyong lai du liang hu shen gu shi zhong de yi ban feng xian bi jiao ge li ,er CARRmo xing yong yu du liang hu shen gu shi zhong ji duan qing xing xia de feng xian bi jiao ge li 。zong de lai shui ,zhe san chong mo xing dou neng gou you xiao de kong zhi he guan li hu shen gu shi zhong de feng xian 。
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论文作者分别是来自广西师范大学的薛世奇，发表于刊物广西师范大学2019-07-18论文，是一篇关于波动性论文,沪深指数论文,跳跃论文,模型论文,模型论文,广西师范大学2019-07-18论文的文章。本文可供学术参考使用，各位学者可以免费参考阅读下载，文章观点不代表本站观点，资料来自广西师范大学2019-07-18论文网站，若本站收录的文献无意侵犯了您的著作版权，请联系我们删除。
标签：波动性论文; 沪深指数论文; 跳跃论文; 模型论文; 广西师范大学2019-07-18论文;