本文選題：關(guān)鍵字 + 方差持續(xù)��； 參考：《上海理工大學(xué)》2012年碩士論文

【摘要】：本文發(fā)現(xiàn)并分析了Bollerslev和Engle[9]提出的用多元向量GARCH模型分析波動(dòng)協(xié)同持續(xù)理論的四個(gè)缺陷,導(dǎo)致這一理論難以在金融市場(chǎng)中應(yīng)用,為此我們提出方差持續(xù)性、方差協(xié)同持續(xù)弱定義。并提出以衰減系數(shù)的半衰期作為持續(xù)性指標(biāo)，用窮舉搜索算法很好地克服了多元向量GARCH模型的缺陷。此算法還可以詳細(xì)分析隨機(jī)過程任意子集的協(xié)同持續(xù)性質(zhì)，最后實(shí)證了歐洲10個(gè)國(guó)家兩兩之間股市波動(dòng)協(xié)同持續(xù)關(guān)系,發(fā)現(xiàn)只有7個(gè)國(guó)家與別的國(guó)家的股市有波動(dòng)協(xié)同持續(xù)關(guān)系，我們并從三維角度研究了三個(gè)地區(qū)內(nèi)部各自股市的協(xié)同持續(xù)關(guān)系。結(jié)論顯示德語(yǔ)區(qū)里有1對(duì)國(guó)家股市波動(dòng)協(xié)同持續(xù)（德國(guó)-奧地利），法語(yǔ)區(qū)內(nèi)各國(guó)家股市之間無波動(dòng)協(xié)同持續(xù)關(guān)系，斯堪的那維亞語(yǔ)區(qū)里有1對(duì)國(guó)家股市波動(dòng)協(xié)同持續(xù)（丹麥-挪威）；德語(yǔ)區(qū)國(guó)家與法語(yǔ)區(qū)之間有2對(duì)國(guó)家股市協(xié)同持續(xù)，德語(yǔ)區(qū)與斯堪的那維亞語(yǔ)區(qū)之間有3對(duì)國(guó)家股市協(xié)同持續(xù)。法語(yǔ)區(qū)與斯堪的那維亞語(yǔ)區(qū)之間沒有國(guó)家股市波動(dòng)協(xié)同持續(xù)的。 本論文還論證了協(xié)同持續(xù)與套期保值的關(guān)系，，我們發(fā)現(xiàn)協(xié)同持續(xù)率可以被看作是長(zhǎng)期套期保值率。我們用窮舉搜索算法得出協(xié)同持續(xù)率，并在此基礎(chǔ)上提出了一種新的套期保值方法：綜合考慮協(xié)同持續(xù)性和最小化方差。既可以提高套期保值績(jī)效指標(biāo)，又可以降低套期保值組合方差持續(xù)性。最后我們用嘉實(shí)300指數(shù)和滬深300指數(shù)期貨的套期保值為數(shù)據(jù)進(jìn)行了實(shí)證分析，結(jié)果顯示這一新套期保值方法有明顯的優(yōu)點(diǎn)。
[Abstract]:In this paper, we find and analyze four defects of the theory of volatility synergetic persistence by using multivariate vector GARCH model proposed by Bollerslev and Engle [9], which makes it difficult to apply this theory in the financial market. For this reason, we propose the definition of variance persistence and variance synergistic persistence weakly. Taking the half-life of the attenuation coefficient as the persistence index, the exhaustive search algorithm is used to overcome the defects of the multivariate vector GARCH model. This algorithm can also analyze the synergetic persistence of any subset of stochastic processes in detail. Finally, the synergistic persistence of stock market volatility between 10 countries in Europe is demonstrated. It is found that only 7 countries have volatility synergistic persistence relationship with other countries. We also study the three-dimensional stock market synergy-persistence relationship within the three regions. The results show that there are 1 pairs of countries in the German-speaking region that have a synergistic and sustained volatility (German-Austrian, French-speaking countries do not have a synergetic relationship between them). In the Scandinavian language Community, one pair of national stock market volatility has been synergistically sustained (Danish-Norway; two pairs of national stock markets have been coordinated between the German-speaking and French-speaking communities, Between the German-speaking and Scandinavian communities, there are three pairs of national stock markets that continue in tandem. There is no national stock market volatility between the French-speaking and Scandinavian communities. This paper also demonstrates the relationship between synergistic persistence and hedging. We find that synergistic persistence can be regarded as long-term hedging rate. Based on the exhaustive search algorithm, we propose a new hedging method: considering the synergistic persistence and minimizing the variance. It can not only improve the hedge performance index, but also reduce the variance persistence of hedging portfolio. In the end, we use the futures hedging of Casheng 300 Index and CSI 300 Index for empirical analysis. The results show that this new hedging method has obvious advantages.
【學(xué)位授予單位】：上海理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F830.91;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前9條

1 劉丹紅,徐正國(guó),張世英;向量GARCH模型的非線性協(xié)同持續(xù)[J];系統(tǒng)工程;2004年06期

2 許啟發(fā),張世英;向量FIGARCH過程的持續(xù)性[J];系統(tǒng)工程;2005年07期

3 樊智,張世英;多元GARCH建模及其在中國(guó)股市分析中的應(yīng)用[J];管理科學(xué)學(xué)報(bào);2003年02期

4 梁朝暉;;期貨套期保值理論及模型的研究進(jìn)展[J];西安電子科技大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2007年03期

5 葉展;;滬深300股指期貨對(duì)股票市場(chǎng)波動(dòng)性影響分析[J];現(xiàn)代商貿(mào)工業(yè);2011年12期

6 李漢東,張世英;BEKK模型的協(xié)同持續(xù)性研究[J];系統(tǒng)工程學(xué)報(bào);2001年03期

7 李漢東,張世英;隨機(jī)波動(dòng)模型的持續(xù)性和協(xié)同持續(xù)性研究[J];系統(tǒng)工程學(xué)報(bào);2002年04期

8 杜子平,張世英;向量GARCH過程協(xié)同持續(xù)性研究[J];系統(tǒng)工程學(xué)報(bào);2003年05期

9 王斌;徐晟;;股指期貨對(duì)我國(guó)股票市場(chǎng)波動(dòng)性影響的實(shí)證分析[J];中國(guó)證券期貨;2010年08期

本文編號(hào)：1776107