本文關(guān)鍵詞：基于變結(jié)構(gòu)Copula模型的股票市場間波動溢出效應(yīng)研究　出處：《東北大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： Copula GARCH 相關(guān)性 變結(jié)構(gòu) 波動溢出效應(yīng)

【摘要】：股票市場是一個復(fù)雜的動態(tài)系統(tǒng),經(jīng)濟(jì)全球化、金融自由化加劇了股票市場的復(fù)雜性和波動性,市場之間的波動相關(guān)性顯著增強(qiáng)。波動溢出效應(yīng)是指不同金融市場之間的波動可能存在相互制約,一個地區(qū)市場的巨大震蕩有可能會傳遞到其它地區(qū)的市場。因此,為了提高金融決策的準(zhǔn)確性,降低決策風(fēng)險(xiǎn),對股市間的波動溢出效應(yīng)進(jìn)行研究分析是非常必要的。Copula函數(shù)能夠描述多個隨機(jī)變量間的相依結(jié)構(gòu),是研究不同市場間波動溢出效應(yīng)的有效工具。本文通過實(shí)證的方法,利用Bayes法診斷出各變結(jié)構(gòu)點(diǎn),利用Copula函數(shù)得到不同階段的秩相關(guān)系數(shù),檢驗(yàn)看其變化的顯著性,進(jìn)而辨析不同市場間波動溢出效應(yīng)的存在性。論文的研究主要包括(1)對股票市場收益率殘差序列進(jìn)行ARCH效應(yīng)檢驗(yàn)。結(jié)果表明,在5%的顯著性水平下,所選取的股票市場時間序列存在顯著的ARCH效應(yīng),能夠利用GARCH類模型來建模。(2)利用GARCH(1,1)-t模型描述各收益率時序的邊緣分布。首先估計(jì)得到收益率序列的邊際分布模型參數(shù),然后進(jìn)行概率積分變換,運(yùn)用K-S檢驗(yàn)方法檢驗(yàn)變換后的序列是否服從(0,1)分布。結(jié)果表明,上證綜指存在明顯的尖峰厚尾現(xiàn)象,并且與其它地區(qū)相比,其收益率更有可能出現(xiàn)極端值。(3)利用靜態(tài)、動態(tài)Copula函數(shù)對不同地區(qū)股市收益率序列的相關(guān)性進(jìn)行分析。靜態(tài)的結(jié)果表明,中亞股市相關(guān)性最強(qiáng),中歐股市相關(guān)性次強(qiáng),中美股市相關(guān)性最小。動態(tài)的結(jié)果表明,各地區(qū)與上海股市收益率時間序列的相關(guān)程度都存在程度不一的上升趨勢。(4)利用“三步法”研究股市間的波動溢出效應(yīng)。結(jié)果表明：深圳股市與上海股市收益率時序間的波動溢出效應(yīng)現(xiàn)象不但表現(xiàn)得最為明顯,而且發(fā)生得也最為頻繁；其它國家與我國市場在不同時間發(fā)生波動溢出效應(yīng)。(5)利用變結(jié)構(gòu)Copula模型研究不同市場的波動溢出效應(yīng)的研究結(jié)果符合股市的現(xiàn)實(shí)中的表現(xiàn),從而證實(shí)了此方法的合理性。
[Abstract]:The stock market is a complex dynamic system, economic globalization, financial liberalization exacerbated the complexity of stock market volatility and volatility correlation between markets increased significantly. The volatility spillover effect refers to different financial market volatility may restrict each other, a huge shock area market is likely to transfer to other areas the market. Therefore, in order to improve the accuracy of financial decision-making, reduce the risk of decision-making, research and Analysis on the volatility spillover effect between stock markets is very necessary.Copula function can describe the dependence structure between multiple random variables, is a useful tool to study the volatility spillover effect of different markets. Through empirical methods, diagnosis the variable structure by Bayes method, using the Copula function to obtain the rank correlation coefficient in different stages, the significant change, and the analysis of different city The existence of field volatility spillover effect. The research includes (1) on the stock market return residual sequence by ARCH effect test. The results show that in the 5% significant level, the stock market time series has significant ARCH effect, can use GARCH model to model (2). The use of GARCH (1,1) -t model to describe the marginal distribution of each yield time series. Firstly estimates the marginal distribution model parameters yield sequence, then the probability integral transform sequences by the test of K-S transform (0,1) is subject to the distribution. The results show that the Shanghai Composite Index has obvious leptokurtic phenomenon, and compared with other regions, the rate of return is more likely to occur in extreme value. (3) the use of static, dynamic correlation Copula function on income rate series in different regions of the stock market. The results show that the static analysis, the Central Asian stock market The strongest correlation, strong correlation between the stock market of China EU, Sino US stock market. The results show that the dynamic minimum correlation, correlation degree of each region and the Shanghai stock market return series are rising in different degree. (4) the "volatility spillover effect between the stock market on the three step. The results show that the Shenzhen stock market and Shanghai stock market return the phenomenon of volatility spillover effect between time series is not only the most obvious, but also occurs most frequently in other countries; and China's market volatility spillover effect in different time. (5) study on the research model using variable structure Copula spillover effects in different markets. The results accord with the reality of the performance of the stock market thus, confirm the rationality of the method.

【學(xué)位授予單位】：東北大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51

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5 王s，

本文編號：1424435