本文選題：蒙特卡羅方法 + GARCH族　； 參考：《山東大學》2012年碩士論文

【摘要】：隨著股指期貨和融資融券業(yè)務的開展,我國證券市場口趨發(fā)展和完善,股票市場作為整個國民經(jīng)濟的重要一環(huán),其地位和作用也口益突出。而此時,我國金融行業(yè)還是處于一個轉軌的階段,貨幣市場和資本市場的波動都異常明顯。在此特殊時刻,我國金融業(yè)的風險管理能力亟需加強,為了提升我國在金融市場中的競爭力,增強抵抗風險的能力,就必須掌握度量風險、預測風險的能力,進而對金融市場進行監(jiān)控和管理。 本文將借助個人在國內(nèi)金融機構較豐富的實習經(jīng)歷,針對我國金融市場的現(xiàn)狀,將傳統(tǒng)VaR計算方法的計算步驟做具有現(xiàn)實性意義的闡述。這也是本文一大創(chuàng)新地方所在。 VaR方法在度量金融市場風險中已得到廣泛的應用,而傳統(tǒng)的VaR方法往往假設市場收益率服從正態(tài)分布。而這個假設在國外金融市場上已經(jīng)驗證為不符合實際。本文就我國2005年6月9日至2011年12月29日的HS300指數(shù)進行對數(shù)收益率分析,發(fā)現(xiàn)這個時間序列存在明顯的尖峰厚尾性、異方差性等特性,于是考慮到用GARCH模型來模擬我國金融市場數(shù)據(jù),作者分別用GARCH、EGARCH、TARCH、EGARCH-M、TARCH-M等GARCH族來模擬此金融時間序列,結果證實,就我國金融市場來說用GARCH(1,1)模型就能相對很好的進行模擬建模。然后利用蒙特卡羅方法進行金融序列的預測模擬,從而求出相應的VaR。并對此進行Kupiec回測檢驗,與之前用歷史模擬法和正態(tài)模型法所作出的結果相比較,發(fā)現(xiàn)本文所用的MC-GARCH-VaR方法在功效上有了明顯的提高,并且具有很強的穩(wěn)定性。
[Abstract]:With the development of stock index futures and margin trading, the stock market is developing and improving. As an important part of the whole national economy, the stock market has a prominent position and function. At this time, China's financial industry is still in a transitional stage, the fluctuation of money market and capital market are very obvious. At this special moment, the risk management ability of our financial industry needs to be strengthened urgently. In order to enhance the competitiveness of our country in the financial market and strengthen the ability to resist the risk, we must master the ability to measure and predict the risk. Then the financial market monitoring and management. In this paper, with the help of individual practice experience in domestic financial institutions, and in view of the present situation of financial market in China, the calculation steps of traditional VaR calculation method are expounded with realistic significance. This is also a major innovation in this paper. VaR method has been widely used in the measurement of financial market risk, while the traditional VaR method often assumes the market yield from normal distribution. This assumption has been proven to be unrealistic in foreign financial markets. In this paper, the logarithmic rate of return of HS300 index from June 9, 2005 to December 29, 2011 is analyzed. It is found that this time series has obvious characteristics such as peak, thick tail, heteroscedasticity, etc. Therefore, considering the use of GARCH model to simulate the financial market data in China, the author uses GARCH family such as EGARCHM, EGARCH-MU TARCH-M to simulate the financial time series. The results show that the GARCH1) model can be used to simulate the financial market in China. Then Monte Carlo method is used to predict and simulate the financial series, and the corresponding VaR is obtained. Compared with the results obtained by the historical simulation method and the normal model method, it is found that the efficiency of the MC-GARCH-VaR method used in this paper is obviously improved and the stability is very strong.
【學位授予單位】：山東大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.5;F224

【參考文獻】

相關期刊論文 前8條

1 陳澤忠,楊啟智,胡金泉;中國股票市場的波動性研究——EGARCH-M模型的應用[J];決策借鑒;2000年05期

2 惠曉峰,柳鴻生,胡偉,何丹青;基于時間序列GARCH模型的人民幣匯率預測[J];金融研究;2003年05期

3 丁華;股價指數(shù)波動中的ARCH現(xiàn)象[J];數(shù)量經(jīng)濟技術經(jīng)濟研究;1999年09期

4 雍炯敏;數(shù)學金融學中的若干問題[J];數(shù)學的實踐與認識;1999年02期

5 桂文林;;上證股指極值模型估計和VaR計算[J];數(shù)學的實踐與認識;2008年19期

6 劉國旗;非線性GARCH模型在中國股市波動預測中的應用研究[J];統(tǒng)計研究;2000年01期

7 葉青;基于GARCH和半?yún)?shù)法的VaR模型及其在中國股市風險分析中的應用[J];統(tǒng)計研究;2000年12期

8 詹原瑞;市場風險的量度:VaR的計算與應用[J];系統(tǒng)工程理論與實踐;1999年12期

相關碩士學位論文 前1條

1 周美英;基于厚尾分布的金融波動模型實證研究[D];山東科技大學;2007年

，

本文編號：1923712