【摘要】：波動擇時策略是一種根據(jù)資產波動以及相關性構建投資組合的方法,具有較為廣泛的應用。鑒于此,提出以波動擇時績效的經濟意義指標比較已實現(xiàn)協(xié)方差矩陣的預測模型。用高頻數(shù)據(jù)構建股指期貨、國債期貨和黃金期貨的已實現(xiàn)協(xié)方差矩陣,利用簡單移動平均模型、指數(shù)加權移動平均模型和混合數(shù)據(jù)抽樣回歸模型對協(xié)方差矩陣進行一步向前滾動窗預測,然后在均值-方差框架下根據(jù)預測協(xié)方差構建動態(tài)投資組合,并通過經濟效益指標對不同模型的預測進行比較評價。實證結果表明,在股市上升階段,用簡單長期移動平均模型預測已實現(xiàn)協(xié)方差矩陣時波動擇時策略表現(xiàn)最好;在股市下跌階段,用簡單短期移動平均模型則更優(yōu);而用指數(shù)加權移動平均和混合數(shù)據(jù)抽樣回歸模型時波動擇時策略表現(xiàn)則始終居中。
[Abstract]:Volatility timing strategy is a method to construct portfolio based on asset volatility and correlation, which is widely used. In view of this, a prediction model of covariance matrix is proposed to compare the economic significance index of volatility timing performance with that of realized covariance matrix. The realized covariance matrix of stock index futures, treasury bonds futures and gold futures is constructed with high frequency data, and a simple moving average model is used. The exponential weighted moving average model and the mixed data sampling regression model are used to predict the covariance matrix in one step forward rolling window, and then the dynamic portfolio is constructed according to the prediction covariance under the framework of mean-variance. The prediction of different models is compared and evaluated by economic benefit index. The empirical results show that in the rising stage of the stock market, it is better to use the simple long-term moving average model to predict the realized covariance matrix, and to use the simple short-term moving average model in the stage of stock market decline, and to use the simple short-term moving average model to predict the realized covariance matrix. However, the performance of volatility timing strategy with exponential weighted moving average and mixed data sampling regression model is always in the middle.
【作者單位】： 南京大學工程管理學院;
【基金】：國家自然科學基金資助項目(71201075,71671084) 高等學校博士學科點專項科研基金資助項目(20120091120003)
【分類號】：C934
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本文編號：2264867