GARCH預測的貨幣指數(shù)動態(tài)組合分析
發(fā)布時間：2018-08-10 22:34
【摘要】：本文首先由匯率價格和美元指數(shù)的表現(xiàn)形式引出貨幣指數(shù)和隱性基準貨幣的概念,作為在外匯市場上對貨幣建立投資組合的資產(chǎn)選擇和估值基準。進而,本文主要探討了兩個問題,首先在動態(tài)時間尺度上,以歷史數(shù)據(jù)通過選擇合適的數(shù)據(jù)窗口長度和調(diào)整頻率這兩個參數(shù)建立多期組合,并得出權重變化依托的合適兩個參數(shù)范圍值；第二個是在第一個問題的基礎上對貨幣指數(shù)投資組合引入預測因素時,有沒有對組合模型效果進行改進的可能,進而本文對外匯市場上存在的八種主要貨幣進行了實證。 本文在緒論部分簡單介紹了投資組合理論在證券市場尤其在外匯市場的應用,并且介紹了貨幣指數(shù)和隱性基準貨幣是如何引入的以及它能成為貨幣投資組合基準貨幣的可能和必然性。然后回顧了現(xiàn)代投資組合理論自建立到如今近60年的發(fā)展歷程及研究現(xiàn)狀并重點綜述了多期投資組合模型和最優(yōu)投資消費模型。第三章首先應用馬科維茨的經(jīng)典均值-方差理論在單期條件下建立了八種貨幣指數(shù)的投資組合模型。然后引入兩個外生變量移動窗口的寬度L和組合權重調(diào)整頻率T,對多期條件下的組合權重調(diào)整進行了分析,探討了一般情況下這兩個變量存在合適范圍值的可能性。在此基礎上,針對均值-方差模型對輸入數(shù)據(jù)可靠性的要求,本文試圖引入預測的因素來替代用簡單平均值來表示的期望收益率,因此引入了ARCH族模型預測的功能。在介紹完ARCH族模型的由來后,本文對八種貨幣指數(shù)的ARCH效應進行了檢驗,表明八種貨幣指數(shù)的波動均存在明顯的條件異方差性,進而本文發(fā)現(xiàn)應用GARCH(1,1)模型可以解決這一問題,能夠更好地擬合貨幣指數(shù)的歷史價格數(shù)據(jù)。從而在此基礎上,本文把GARCH模型的預測能力引入貨幣指數(shù)投資組合中,利用貨幣指數(shù)的預測對數(shù)價格數(shù)據(jù)進一步得到其預測收益率,以其替代均值表示的期望收益率。在此基礎上加入預測所得新的樣本值重新計算組合風險,從而重新構建貨幣指數(shù)的投資組合并利用歷史數(shù)據(jù)進行了實證,結果發(fā)現(xiàn)貨幣指數(shù)的預測收益率組合模型相對于一般均值-方差模型的優(yōu)勢和不足之處,在實踐上預測收益率組合模型有其適用的范圍。本文最后在對全文進行總結后,對貨幣指數(shù)多期投資組合模型以及在加入預測因素后做了一些擴展性的討論。
[Abstract]:This paper first introduces the concepts of currency index and implicit benchmark currency from the expression of exchange rate price and dollar index as the asset selection and valuation benchmark for establishing a portfolio of currencies in the foreign exchange market. Then, this paper mainly discusses two problems. Firstly, on the dynamic time scale, the historical data is used to set up the multi-period combination by selecting the appropriate data window length and adjusting frequency. And get the appropriate two parameter range value of weight change depending on; the second is on the basis of the first problem, when introducing the forecast factor to the currency index portfolio, there is no possibility to improve the effect of the portfolio model. Furthermore, this paper makes an empirical study of the eight major currencies in the foreign exchange market. In the introduction part, this paper briefly introduces the application of portfolio theory in the securities market, especially in the foreign exchange market. It also introduces how the monetary index and implicit benchmark currency are introduced and the possibility and inevitability that it can become the currency portfolio benchmark currency. Then it reviews the development and research status of modern portfolio theory from its establishment to the recent 60 years, and summarizes the multi-period portfolio model and the optimal investment consumption model. In the third chapter, Markowitz's classical mean-variance theory is used to establish the portfolio model of eight monetary indices under the condition of single period. Then, the width L of the moving window of two exogenous variables and the adjustment frequency T of the combined weight are introduced to analyze the combined weight adjustment under multi-period conditions, and the possibility of the existence of suitable range values for these two variables in general is discussed. On this basis, aiming at the reliability requirement of the mean variance model for input data, this paper attempts to introduce the prediction factor instead of the expected return rate expressed by the simple average value, so the function of the ARCH family model prediction is introduced. After introducing the origin of the ARCH family model, the ARCH effect of the eight monetary indices is tested in this paper. The results show that the fluctuation of the eight monetary indices has obvious conditional heteroscedasticity. Furthermore, it is found that the application of the GARCH (1K1) model can solve this problem. Can better fit the historical price data of monetary index. On this basis, this paper introduces the forecasting ability of the GARCH model into the monetary index portfolio, and uses the predicted logarithmic price data of the monetary index to further obtain its predicted return rate, which replaces the expected return rate expressed by the mean value. On this basis, the portfolio risk is recalculated by adding the predicted new sample value, and then the portfolio of monetary index is re-constructed and the historical data are used to make an empirical study. The results show that the predictive return portfolio model of monetary index has its advantages and disadvantages compared with the general mean-variance model. In practice, the forecasting yield combination model has its applicable scope. In the end, after summarizing the whole paper, the paper discusses the multi-period portfolio model of currency index and the extended discussion after adding the forecasting factors.
【學位授予單位】：電子科技大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F820;F224
本文編號：2176420
[Abstract]:This paper first introduces the concepts of currency index and implicit benchmark currency from the expression of exchange rate price and dollar index as the asset selection and valuation benchmark for establishing a portfolio of currencies in the foreign exchange market. Then, this paper mainly discusses two problems. Firstly, on the dynamic time scale, the historical data is used to set up the multi-period combination by selecting the appropriate data window length and adjusting frequency. And get the appropriate two parameter range value of weight change depending on; the second is on the basis of the first problem, when introducing the forecast factor to the currency index portfolio, there is no possibility to improve the effect of the portfolio model. Furthermore, this paper makes an empirical study of the eight major currencies in the foreign exchange market. In the introduction part, this paper briefly introduces the application of portfolio theory in the securities market, especially in the foreign exchange market. It also introduces how the monetary index and implicit benchmark currency are introduced and the possibility and inevitability that it can become the currency portfolio benchmark currency. Then it reviews the development and research status of modern portfolio theory from its establishment to the recent 60 years, and summarizes the multi-period portfolio model and the optimal investment consumption model. In the third chapter, Markowitz's classical mean-variance theory is used to establish the portfolio model of eight monetary indices under the condition of single period. Then, the width L of the moving window of two exogenous variables and the adjustment frequency T of the combined weight are introduced to analyze the combined weight adjustment under multi-period conditions, and the possibility of the existence of suitable range values for these two variables in general is discussed. On this basis, aiming at the reliability requirement of the mean variance model for input data, this paper attempts to introduce the prediction factor instead of the expected return rate expressed by the simple average value, so the function of the ARCH family model prediction is introduced. After introducing the origin of the ARCH family model, the ARCH effect of the eight monetary indices is tested in this paper. The results show that the fluctuation of the eight monetary indices has obvious conditional heteroscedasticity. Furthermore, it is found that the application of the GARCH (1K1) model can solve this problem. Can better fit the historical price data of monetary index. On this basis, this paper introduces the forecasting ability of the GARCH model into the monetary index portfolio, and uses the predicted logarithmic price data of the monetary index to further obtain its predicted return rate, which replaces the expected return rate expressed by the mean value. On this basis, the portfolio risk is recalculated by adding the predicted new sample value, and then the portfolio of monetary index is re-constructed and the historical data are used to make an empirical study. The results show that the predictive return portfolio model of monetary index has its advantages and disadvantages compared with the general mean-variance model. In practice, the forecasting yield combination model has its applicable scope. In the end, after summarizing the whole paper, the paper discusses the multi-period portfolio model of currency index and the extended discussion after adding the forecasting factors.
【學位授予單位】：電子科技大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F820;F224
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