本文關(guān)鍵詞：基于MRS-GARCH族模型的國(guó)際主要股指波動(dòng)比較研究　出處：《南京航空航天大學(xué)》2012年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 股指波動(dòng) 多層次股市 MRS-GARCH族模型 國(guó)際比較 實(shí)證研究

【摘要】：以我國(guó)內(nèi)地多層次股市為主要研究對(duì)象，建立MRS-GARCH族模型（GARCH、EGARCH、PARCH以及MRS-GARCH四種模型，殘差分別服從正態(tài)分布、t分布以及GED分布），以此對(duì)上證綜指、中小板指以及創(chuàng)業(yè)板指的日收益率進(jìn)行統(tǒng)計(jì)擬合分析,并綜合研究標(biāo)普500指數(shù)以及香港恒生指數(shù)，進(jìn)行國(guó)際角度的股指波動(dòng)比較。 研究發(fā)現(xiàn)若從AIC和Log（L）(對(duì)數(shù)似然函數(shù)值)兩個(gè)指標(biāo)進(jìn)行評(píng)估，PARCH-t是擬合上證綜指收益率序列的最佳模型，GARCH-t對(duì)于中小板收益率序列則是有較好的擬合效果，對(duì)于創(chuàng)業(yè)板，從AIC角度看，GARCH-t表現(xiàn)最優(yōu)，MRS-GARCH-N以及GARCH-N表現(xiàn)次之，從對(duì)數(shù)似然函數(shù)值（Log(L)）的角度看，PARCH-GED表現(xiàn)最佳，GARCH-M-t和GARCH-GED表現(xiàn)次之，反映了創(chuàng)業(yè)板作為新生板塊，其波動(dòng)的內(nèi)在特征還不穩(wěn)定，使得不同角度下衡量的擬合結(jié)果不盡相同。此外，PARCH-t也是擬合標(biāo)普500指數(shù)的最佳模型，PARCH-GED對(duì)于恒生指數(shù)則是有較好的擬合效果，至于研究的重點(diǎn)—MRS-GARCH-N模型表現(xiàn)不佳，很大可能是因?yàn)槟Ｐ褪腔谡龖B(tài)分布。 從波動(dòng)的衰減性、風(fēng)險(xiǎn)收益特征以及不對(duì)稱(chēng)效應(yīng)等角度衡量，發(fā)現(xiàn)股權(quán)分置改革后的內(nèi)地主板市場(chǎng)其波動(dòng)特征更接近于美國(guó)、香港等成熟市場(chǎng)，股權(quán)分置改革的順利完成確實(shí)是中國(guó)股票交易市場(chǎng)由新興市場(chǎng)邁向成熟市場(chǎng)的助推器，雖然改革進(jìn)程飽受爭(zhēng)議，此項(xiàng)改革確實(shí)使得中國(guó)多層次股票市場(chǎng)的發(fā)展受益匪淺。 最后提出基于CDS（conditional standard deviation，條件標(biāo)準(zhǔn)差）的過(guò)度波動(dòng)計(jì)量模型，選取上證綜指與中小板指、上證綜指與標(biāo)普500指數(shù)兩組作為研究對(duì)象進(jìn)行實(shí)證研究，以特定的指數(shù)序列樣本進(jìn)行比較分析。從實(shí)證分析的結(jié)果看，在所選取的樣本期間內(nèi)，中小板相對(duì)于主板確實(shí)是存在過(guò)度波動(dòng)（存在泡沫以及過(guò)度下跌的情形）的，，而內(nèi)地主板相對(duì)美國(guó)主板是存在過(guò)度波動(dòng)的，這些實(shí)證分析的結(jié)果與現(xiàn)實(shí)股市走勢(shì)相吻合，表明了此過(guò)度波動(dòng)計(jì)量模型是具有適用性和正確性的。
[Abstract]:Taking the multi-level stock market in the mainland of China as the main research object, four kinds of MRS-GARCH family models, MRS-GARCH family model and MRS-GARCH model, are established. The residuals are divided into normal distribution and GED distribution to analyze the daily yield of Shanghai Composite Index, small and medium board index and growth Enterprise Board Index. A comprehensive study of the S & P 500 index and Hong Kong's Hang Seng Index, the international perspective of the index volatility comparison. It is found that PARCH-t is the best model to fit the yield series of Shanghai Composite Index if we evaluate it from two indexes: AIC and Log-Ln (log-likelihood function). GARCH-t has a good fitting effect for small and medium board return sequence, and for gem, GARCH-t performance is the best from the AIC point of view. MRS-GARCH-N and GARCH-N were the second, and PARCH-GED performed best from the point of view of logarithmic likelihood function. GARCH-M-t and GARCH-GED performance followed, reflecting the gem as a new plate, the inherent characteristics of volatility is not stable. In addition, PARCH-t is the best model to fit the S & P 500 index. PARCH-GED has a good fitting effect for Hang Seng Index, and the focus of the study -MRS-GARCH-N model is not good, it is probably because the model is based on normal distribution. From the point of view of the attenuation of volatility, the characteristics of risk return and asymmetric effect, it is found that the volatility characteristics of the mainland main board market after the split share structure reform are closer to the mature markets such as the United States and Hong Kong. The successful completion of the split share structure reform is indeed a booster for China's stock market to move from emerging market to mature market, although the reform process is controversial. This reform really benefits the development of China's multi-level stock market. Finally, an excessive volatility measurement model based on CDS(conditional standard deviation (conditional standard deviation) is proposed, and Shanghai Composite Index and small and medium board index are selected. Shanghai Composite Index and S & P 500 index as two groups of empirical research, with specific index series samples for comparative analysis. From the results of empirical analysis, in the selected sample period. The small and medium-sized boards are indeed excessive volatility relative to the main board (there is a bubble and excessive decline), while the mainland motherboard relative to the United States motherboard is excessive volatility. The results of these empirical analyses are consistent with the trend of the real stock market, which indicates that the model is applicable and correct.
【學(xué)位授予單位】：南京航空航天大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F831.5;F224

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