本文選題：條件自回歸極差模型 + 上證綜合指數(shù)��； 參考：《天津大學(xué)》2014年碩士論文

【摘要】：現(xiàn)代信息技術(shù)、金融理論和金融工程技術(shù)的不斷發(fā)展使得國(guó)際金融市場(chǎng)的流通效率大大提高,金融市場(chǎng)中的交易品種和交易速度增長(zhǎng)迅速,大幅加劇了金融市場(chǎng)的波動(dòng)性。對(duì)于金融市場(chǎng)波動(dòng)性的研究越來(lái)越成為近些年來(lái)的研究熱點(diǎn)。條件自回歸條件極差模型(Conditional Auto-Regressive Range,CARR)由Chou(2005)提出,將極差與GARCH(Generalized AutoRegressive Conditional Heteroskedasticity)模型的思想結(jié)合起來(lái)。CARR模型能夠有效刻畫(huà)極差的動(dòng)態(tài)結(jié)構(gòu)。并且通過(guò)實(shí)證分析發(fā)現(xiàn),在對(duì)波動(dòng)性進(jìn)行預(yù)測(cè)方面,基于極差的CARR模型比傳統(tǒng)GARCH模型效果更好的結(jié)論。本文即是基于CARR模型對(duì)我國(guó)上海股票市場(chǎng)波動(dòng)性進(jìn)行擬合分析,并引入Copula函數(shù)的思想對(duì)中美兩國(guó)股市間的波動(dòng)相關(guān)性進(jìn)行了研究。論文的主要研究工作和創(chuàng)新點(diǎn)如下:1、通過(guò)實(shí)證分析選擇數(shù)據(jù)擬合情況最好的CARR模型,然后利用所選的CARR模型和GARCH模型對(duì)上證綜合股價(jià)指數(shù)的日數(shù)據(jù)進(jìn)行實(shí)證研究;2、構(gòu)建非線(xiàn)性的CARR模型,即將門(mén)限模型與CARR模型結(jié)合起來(lái)。比較門(mén)限CARR模型與傳統(tǒng)CARR模型對(duì)樣本數(shù)據(jù)的擬合效果;3、建立Copula-CARR模型,對(duì)上海股票市場(chǎng)與美國(guó)股票市場(chǎng)之間的相關(guān)程度和相關(guān)模式進(jìn)行分析。4、選擇2008年全球金融危機(jī)爆發(fā)事件作為時(shí)間分界點(diǎn),對(duì)樣本數(shù)據(jù)進(jìn)行分段建模,比較在不同階段,上海股票市場(chǎng)與美國(guó)股票市場(chǎng)之間的相關(guān)關(guān)系有什么樣的變化。
[Abstract]:With the development of modern information technology, financial theory and financial engineering technology, the circulation efficiency of international financial market has been greatly improved.The research on the volatility of financial markets has become a hot topic in recent years.The conditional Auto-Regressive range model (CARR) was proposed by Choufen 2005. Combining the idea of GARCH(Generalized AutoRegressive Conditional heterodyne model, Carr model can effectively describe the dynamic structure of range difference.Through empirical analysis, it is found that the CARR model based on range is more effective than the traditional GARCH model in predicting volatility.This paper is based on the CARR model to analyze the volatility of Shanghai stock market in China, and introduces the idea of Copula function to study the volatility correlation between Chinese and American stock markets.The main research work and innovation of this paper are as follows: 1. Through empirical analysis, we choose the best fitting CARR model.Then we use the selected CARR model and GARCH model to make an empirical study on the daily data of Shanghai stock price index, and construct a nonlinear CARR model, which combines the threshold model with the CARR model.The fitting effect of threshold CARR model and traditional CARR model on sample data is compared. The Copula-CARR model is established.This paper analyzes the correlation between Shanghai stock market and American stock market, selects the 2008 global financial crisis as the time boundary point, and models the sample data in different stages.What is the relationship between Shanghai stock market and American stock market?
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F224;F832.51;F837.12
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本文編號(hào)：1754339