【摘要】：有關(guān)對(duì)金融時(shí)間序列波動(dòng)性的討論及探究一直是金融市場(chǎng)研究的核心問(wèn)題之一。對(duì)于波動(dòng)模型的研究,近年來(lái)研究者們的視線逐漸從GARCH類模型轉(zhuǎn)向各種擴(kuò)展SV模型,根據(jù)研究金融市場(chǎng)的角度不同研究者們相繼提出了眾多的擴(kuò)展模型。 由于SV族模型中參數(shù)很難估計(jì),所以目前為止研究最多是基本SV模型,但是把它用于研究我國(guó)的股市,出來(lái)的結(jié)果不是很令人滿意,因?yàn)橄鄬?duì)于正態(tài)分布的假設(shè),金融時(shí)間序列數(shù)據(jù)的異方差模型會(huì)呈現(xiàn)高峰厚尾性；另一原因是數(shù)據(jù)序列的收益率和波動(dòng)性之間還存在著相關(guān)性,為了解決以上問(wèn)題,本文在標(biāo)準(zhǔn)SV模型的基礎(chǔ)上著重運(yùn)用厚尾、均值以及杠桿SV模型對(duì)我國(guó)的股市進(jìn)行了分析。 運(yùn)用貝葉斯原理及MCMC方法對(duì)sV族模型中的SV-T模型、SV-MN模型以及杠桿SV模型進(jìn)行了貝葉斯分析,求出每個(gè)模型中參數(shù)的后驗(yàn)分布密度,構(gòu)造基于Gibbs抽樣的MCMC數(shù)值計(jì)算過(guò)程,然后利用Openbugs軟件求出模型中各參數(shù)的估計(jì)值,之后通過(guò)求出的估計(jì)值對(duì)代表中國(guó)國(guó)內(nèi)股市的上證綜指和代表香港股市的恒生指數(shù)進(jìn)行分析并做比較研究,最后運(yùn)用DIC準(zhǔn)則對(duì)兩股指在各模型下的模擬情況進(jìn)行研究分析,找到較為適合我國(guó)金融市場(chǎng)的模型。
[Abstract]:The discussion and exploration of the volatility of financial time series has been one of the core issues in the study of financial markets. For the research of volatility model, researchers have gradually shifted their attention from GARCH model to various extended SV model in recent years. According to the perspective of financial market, many extended models have been put forward by different researchers. Because the parameters of the SV family model are difficult to estimate, so far the basic SV model is the most studied, but the result of applying it to the stock market in our country is not very satisfactory, because of the hypothesis of normal distribution. The heteroscedasticity model of financial time series data shows a peak and thick tail; another reason is that there is a correlation between the return rate and volatility of the data series, in order to solve the above problem, Based on the standard SV model, this paper analyzes the stock market in China by using the model of thick tail, mean value and leveraged SV. Bayesian analysis of SV-T model SV-MN model and lever SV model of sV family model is carried out by using Bayesian principle and MCMC method. The posterior distribution density of parameters in each model is obtained, and the MCMC numerical calculation process based on Gibbs sampling is constructed. Then the Openbugs software is used to calculate the estimated values of each parameter in the model, and then the Shanghai Composite Index, which represents the domestic stock market of China, and the Hang Seng Index, which represents the Hong Kong stock market, are analyzed and compared through the estimated values. Finally, the DIC criterion is used to study and analyze the simulation of the two stock indexes under each model, and to find a more suitable model for China's financial market.
【學(xué)位授予單位】：山東理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832.51

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本文編號(hào)：2240548