本文選題：微觀結(jié)構(gòu)噪聲　切入點(diǎn)：雙時(shí)間頻度之實(shí)現(xiàn)方差　出處：《暨南大學(xué)》2013年碩士論文

【摘要】：一般來(lái)講，資產(chǎn)收益率的波動(dòng)包括連續(xù)性波動(dòng)和跳躍性波動(dòng)。波動(dòng)性既是投資者投資行為綜合作用的結(jié)果，又是對(duì)當(dāng)前市場(chǎng)運(yùn)行狀況的綜合反映。但是，由于市場(chǎng)微觀結(jié)構(gòu)的作用，使得觀測(cè)到的價(jià)格常常會(huì)由于交易過(guò)程的影響而偏離均衡價(jià)格，因此通過(guò)觀測(cè)價(jià)格估計(jì)得到的波動(dòng)性不能較為準(zhǔn)確的反映市場(chǎng)運(yùn)行的真實(shí)狀況。交易過(guò)程中導(dǎo)致觀測(cè)價(jià)格偏離均衡價(jià)格的各種因素即為微觀結(jié)構(gòu)噪聲，包括非同步交易、市場(chǎng)參與者的流動(dòng)性需要、交易者的執(zhí)行策略、價(jià)格的離散變化、信息非對(duì)稱(chēng)等。因此，在考慮微觀結(jié)構(gòu)噪聲的影響之后再去估計(jì)收益率的波動(dòng)性能夠提高估計(jì)的有效性，能夠更加準(zhǔn)確的反映證券市場(chǎng)的價(jià)格行為及證券市場(chǎng)的穩(wěn)定性與效率狀況，對(duì)于企業(yè)進(jìn)行資產(chǎn)定價(jià)以及投資者進(jìn)行資產(chǎn)配置都具有重要意義。 本文是以滬深300指數(shù)每五分鐘交易數(shù)據(jù)作為樣本數(shù)據(jù)，，研究了次貸危機(jī)前期，當(dāng)期與后期我國(guó)股市的微觀結(jié)構(gòu)噪聲以及連續(xù)性波動(dòng)和跳躍性波動(dòng)的集聚效應(yīng)，規(guī)模效應(yīng)，杠桿效應(yīng)還有綜合效應(yīng)等波動(dòng)特征。先利用跳躍擴(kuò)散模型離散小波變換方法檢測(cè)跳躍行為，并估計(jì)出跳躍行為的發(fā)生位置，次數(shù)，幅度和方差；然后將跳躍性波動(dòng)從觀測(cè)數(shù)據(jù)中分離出來(lái)；再利用TSRV方法對(duì)調(diào)整后的數(shù)據(jù)建模，估計(jì)出我國(guó)股市的噪聲和連續(xù)性波動(dòng)，從而就分別得到了我國(guó)股市的連續(xù)性波動(dòng)和跳躍性波動(dòng)。最后根據(jù)估計(jì)結(jié)果，利用修正EGARCH模型對(duì)我國(guó)股市波動(dòng)特征主要是集聚效應(yīng)，規(guī)模效應(yīng)，非對(duì)稱(chēng)效應(yīng)以及綜合效應(yīng)進(jìn)行研究。
[Abstract]:Generally speaking, the volatility of asset return includes continuous volatility and jump volatility.Volatility is not only the result of the comprehensive action of investor's investment behavior, but also the comprehensive reflection of the current market operation.However, due to the effect of market microstructure, observed prices often deviate from equilibrium prices due to the effects of the trading process.Therefore, the volatility obtained by price estimation can not accurately reflect the real situation of market operation.In the course of trading, the factors that cause the observed price to deviate from the equilibrium price are microstructure noise, including asynchronous trading, the liquidity needs of market participants, the execution strategy of traders, the discrete change of price, the asymmetric information and so on.Therefore, estimating the volatility of return after considering the influence of microstructural noise can improve the effectiveness of the estimation, and can more accurately reflect the price behavior of the securities market and the stability and efficiency of the securities market.It is of great significance for enterprises to price assets and investors to allocate assets.Based on the data of Shanghai and Shenzhen 300 index trading every five minutes, this paper studies the microstructural noise, the agglomeration effect and scale effect of continuous volatility and jump volatility in China's stock market in the early, current and late stages of the sub-prime crisis.The leverage effect also has the fluctuation characteristic such as comprehensive effect.The jump behavior is detected by the discrete wavelet transform method of the jump diffusion model, and the location, frequency, amplitude and variance of the jump behavior are estimated, and then the jump wave is separated from the observed data.Then the TSRV method is used to model the adjusted data, and the noise and continuity volatility of Chinese stock market are estimated, and the continuity volatility and jump fluctuation of Chinese stock market are obtained respectively.Finally, according to the estimation results, we use the modified EGARCH model to study the agglomeration effect, scale effect, asymmetric effect and comprehensive effect of stock market volatility in China.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F224;F832.51

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