本文選題：高頻數(shù)據(jù) + 乘積誤差模型（MEM）　； 參考：《天津大學(xué)》2012年碩士論文

【摘要】：2008年底爆發(fā)的全球性金融危機(jī)對世界經(jīng)濟(jì)造成的影響至今仍未平息，此次危機(jī)凸顯了金融風(fēng)險(xiǎn)監(jiān)管上的巨大漏洞，引發(fā)了國際社會對于金融創(chuàng)新與金融監(jiān)管的大討論；2010年4月16日，我國正式推出了股指期貨交易，其在豐富了我國資本市場交易品種的同時(shí)，也對我國尚未完善的監(jiān)管體制帶來了新的難題。 金融高頻數(shù)據(jù)計(jì)量經(jīng)濟(jì)學(xué)自20世紀(jì)90年代以來成為了金融計(jì)量學(xué)、金融工程學(xué)的一個(gè)重要研究領(lǐng)域，高頻數(shù)據(jù)的波動建模作為其中一個(gè)重要的研究方向，旨在通過適當(dāng)?shù)哪Ｐ蜕钊敕治鼋鹑谑袌龅牟▌犹卣�。乘積誤差模型（MultiplicativeErrorModel,MEM）由Engle（2002）提出，其適用于對于高頻非負(fù)（non-negative）金融數(shù)據(jù)進(jìn)行建模。本文即基于MEM模型對于中國股指期貨市場的波動進(jìn)行建模與研究。 本文的主要研究工作和創(chuàng)新點(diǎn)如下： 1、雖然MEM模型被國外學(xué)者廣泛用于實(shí)證分析，但我國學(xué)者在這方面所做的研究極少，本文利用MEM模型對我國股指期貨合約價(jià)格指數(shù)的“已實(shí)現(xiàn)”波動建模，并在其中考慮了隨機(jī)誤差項(xiàng)可能出現(xiàn)的不同分布函數(shù)的情形，分析不同隨機(jī)誤差項(xiàng)分布對建模結(jié)果的影響。 2、Anderson和Bollerslev(1998)提出了“已實(shí)現(xiàn)”波動（RealizedVolatility，RV）這一嶄新的波動度量方法，基于其計(jì)算簡單，無需建模、進(jìn)行參數(shù)估計(jì)等優(yōu)良特性，受到了學(xué)者們的普遍關(guān)注。雖然徐正國（2004）提出了調(diào)整“已實(shí)現(xiàn)”波動（Adjusted Realized Volatility）、郭名媛（2006）提出了賦權(quán)“已實(shí)現(xiàn)”波動（Weighted Realized Volatility），并從理論和實(shí)證兩個(gè)方面均證明了自己的改進(jìn)形式比“已實(shí)現(xiàn)”波動性質(zhì)更優(yōu)，但國內(nèi)尚無學(xué)者利用實(shí)證研究比較這三者的統(tǒng)計(jì)性質(zhì)，也沒有學(xué)者利用同一種模型為這三種“已實(shí)現(xiàn)”波動建模。本文對于股指期貨合約價(jià)格指數(shù)的“已實(shí)現(xiàn)”波動、調(diào)整“已實(shí)現(xiàn)”波動和賦權(quán)“已實(shí)現(xiàn)”波動從統(tǒng)計(jì)特性和MEM建模結(jié)果這兩方面進(jìn)行了比較與研究。 3、本文基于門限ACD模型的思想，，建立門限MEM模型（ThresholdMultiplicative Error Model），并利用其對我國股指期貨合約價(jià)格指數(shù)的“已實(shí)現(xiàn)”波動建模。 本論文是國家自然科學(xué)基金項(xiàng)目《基于MEM模型的金融市場分析》（No：70901055）的組成部分。
[Abstract]:The global financial crisis that broke out at the end of 2008 has not yet calmed down the impact of the global financial crisis on the world economy. The crisis has highlighted the huge loopholes in the supervision of financial risks and triggered a great discussion on financial innovation and financial regulation in the international community. On April 16, 2010, China officially launched stock index futures trading, which not only enriches the trading varieties of China's capital market, but also brings new difficulties to China's imperfect regulatory system. Financial high-frequency data econometrics has become an important research field of financial metrology and financial engineering since 1990s. Volatility modeling of high-frequency data is one of the important research directions. The purpose of this paper is to analyze the volatility characteristics of financial markets through appropriate models. The product error model / Multiplicative error Model (MEM) was proposed by Engle2002.It is suitable for modeling high-frequency non-negative financial data. Based on the MEM model, this paper models and studies the volatility of China's stock index futures market. The main research work and innovations of this paper are as follows: 1. Although MEM model has been widely used in empirical analysis by foreign scholars, Chinese scholars have done very little research in this area. In this paper, we use the MEM model to model the "realized" fluctuation of the price index of stock index futures contracts in China, and consider the different distribution functions of the stochastic error term. This paper analyzes the influence of different random error term distribution on the modeling results. (2) A new wave measurement method "realized" is proposed by Anderson and Bollerslev (1998). Based on its simple calculation, no need for modeling and parameter estimation, a new wave measurement method is proposed. It has received widespread attention from scholars. Although Xu Zhengguo (2004) proposed to adjust the "realized" volatility, Guo Mingyuan (2006) proposed that the "realized" wave has been realized, and proved that its improved form is better than the "realized" volatility in both theory and practice. However, no domestic scholars use empirical research to compare the statistical properties of the three, and no scholars use the same model to model the three "realized" fluctuations. This paper deals with the "realized" fluctuation of the price index of the stock index futures contract. Adjusting "realized" and "weighted" realized "volatility is compared and studied in terms of statistical characteristics and MEM modeling results. 3. This paper is based on the idea of threshold ACD model. The threshold MEM model is established to model the realized volatility of China's stock index futures contract price index by using the threshold MEM model of Threshold-Multiplicative error Modeler. This thesis is a part of National Natural Science Foundation Project "Financial Market Analysis based on MEM Model" No: 70901055.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.5

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本文編號：2018511