本文選題：股指期貨 + 波動性　； 參考：《哈爾濱工業(yè)大學(xué)》2012年碩士論文

【摘要】：中國股指期貨市場在價格發(fā)現(xiàn)、資產(chǎn)配置和規(guī)避風(fēng)險中扮演重要角色。鑒于中國股指期貨市場根基薄弱、市場競爭日益加劇，，期貨價格易受信息沖擊而劇烈波動，甚至出現(xiàn)跳躍。如何科學(xué)準(zhǔn)確地刻畫與跟蹤中國股指期貨市場波動性，并探究中國股指期貨市場是否存在跳躍、跳躍又服從怎樣的動態(tài)規(guī)律，對股指期貨的資產(chǎn)定價、風(fēng)險管理以及市場監(jiān)管都具有重要的理論和現(xiàn)實意義。 本文提出了高頻數(shù)據(jù)條件下中國股指期貨市場波動性的度量方法，并探究了中國股指期貨市場的跳躍行為，研究結(jié)果可為投資者和監(jiān)管機構(gòu)提供一定的理論支持。 采用三類主流的高頻波動率估算方法，估算出中國股指期貨市場的波動性，并深入分析了股指期貨的波動特征。研究發(fā)現(xiàn)，中國股指期貨市場高頻波動率呈現(xiàn)尖峰、厚尾、非正態(tài)及長記憶特征。已實現(xiàn)極差波動率捕捉市場跳躍的能力更強。 考慮微觀市場結(jié)構(gòu)噪聲對波動率影響條件下，基于雙冪變差理論框架動態(tài)檢測了中國股指期貨市場的跳躍時點，并從跳躍幅度、跳躍久期等角度進(jìn)行了研究。研究發(fā)現(xiàn)，中國股指期貨市場存在跳躍；跳躍幅度和跳躍頻率與投資者的風(fēng)險偏好相關(guān)；跳躍具有聚集性和時變性，跳躍貢獻(xiàn)趨于平穩(wěn)。 將跳躍分離出久期序列，研究發(fā)現(xiàn)中國股指期貨市場的跳躍久期服從指數(shù)分布，跳躍次數(shù)服從Poisson過程，ACD模型能有效擬合和預(yù)報跳躍久期；受隔夜信息、午間休息制度、閉市效應(yīng)以及周末效應(yīng)的影響，中國股指期貨合約的波動性、活躍程度表現(xiàn)出明顯的、穩(wěn)定的倒“W”型、“L”型并存的日內(nèi)模式。
[Abstract]:China's stock index futures market plays an important role in price discovery, asset allocation and risk aversion.In view of the weak foundation of China's stock index futures market and the increasing competition in the market, futures prices are vulnerable to information shocks and violent fluctuations, and even jump.How to describe and track the volatility of China's stock index futures market scientifically and accurately, and to explore whether there is a jump in China's stock index futures market, and what kind of dynamic rules to follow, and how to price the assets of stock index futures.Risk management and market supervision have important theoretical and practical significance.This paper puts forward a method to measure the volatility of China's stock index futures market under the condition of high frequency data, and probes into the jumping behavior of China's stock index futures market. The research results can provide certain theoretical support for investors and regulators.The volatility of China's stock index futures market is estimated by using three main methods of high-frequency volatility estimation, and the volatility characteristics of stock index futures are deeply analyzed.It is found that the high frequency volatility of Chinese stock index futures market is characterized by peak, thick tail, non-normal and long memory.The ability to capture market jumps has been improved by achieving range volatility.Considering the influence of market structure noise on volatility, the jump time of Chinese stock index futures market is dynamically detected based on the theory framework of double power variation, and the jump amplitude and jump duration are studied.It is found that there is a jump in the stock index futures market in China; the jump amplitude and frequency are related to the risk preference of investors; the jump has aggregation and time variability, and the contribution of jump tends to be stable.The study found that the jump duration of Chinese stock index futures market can be distributed from the index, and the Poisson model can effectively fit and predict the jump duration.Under the influence of closed market effect and weekend effect, the volatility and active degree of Chinese stock index futures contract show obvious, stable "W" type and "L" type coexisting intraday mode.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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