【摘要】：引入結(jié)構(gòu)突變,對(duì)上證綜指馬爾可夫轉(zhuǎn)換-ARCH模型通過(guò)馬爾可夫蒙特卡羅方法(MCMC方法)進(jìn)行估計(jì)。在30000次參數(shù)模擬之后,本文得到穩(wěn)健、可靠的結(jié)果,似然比檢驗(yàn)顯示本文模型好于幾乎所有GARCH族模型。本文結(jié)論:(1)相對(duì)于世界主要股市,中國(guó)股市各波動(dòng)狀態(tài)的持續(xù)時(shí)間短、波動(dòng)幅度大;(2)不像其他股市,中國(guó)股市的波動(dòng)不能反應(yīng)國(guó)內(nèi)外的政治經(jīng)濟(jì)狀況的變化;(3)中國(guó)股市中等波動(dòng)狀態(tài)的收益率顯著大于0。這些結(jié)論提供了一個(gè)認(rèn)識(shí)中國(guó)股市波動(dòng)性的全新視角,還揭示了一種基于模型的實(shí)用數(shù)量投資方法,最后本文提出了完善中國(guó)股市的相關(guān)建議。
[Abstract]:In this paper, the structural mutation is introduced to estimate the Markov transformation-ARCH model of Shanghai Composite Index by Markov Monte Carlo method (MCMC method). After 30000 parameter simulations, the robust and reliable results are obtained, and the likelihood ratio test shows that the proposed model is better than almost all GARCH family models. The conclusions of this paper are as follows: (1) compared with the major stock markets in the world, the volatility of the Chinese stock market has a short duration and a large fluctuation range, (2) unlike other stock markets, the volatility of the Chinese stock market can not reflect the changes of the political and economic situation at home and abroad. (3) the yield of medium volatility in Chinese stock market is significantly greater than 0. 5%. These conclusions provide a new perspective to understand the volatility of Chinese stock market, and also reveal a practical quantitative investment method based on the model. Finally, this paper puts forward some suggestions to improve the Chinese stock market.
【作者單位】： 復(fù)旦大學(xué)經(jīng)濟(jì)學(xué)院;
【基金】：復(fù)旦大學(xué)(教育部)金融創(chuàng)新研究生開(kāi)放實(shí)驗(yàn)室資助項(xiàng)目;復(fù)旦大學(xué)研究生創(chuàng)新基金資助項(xiàng)目 上海市重點(diǎn)學(xué)科建設(shè)項(xiàng)目(B101)
【分類(lèi)號(hào)】：F224;F832.51

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本文編號(hào)：2482378