本文選題：高頻數(shù)據(jù)　切入點：BAYES-DCC-GARCH模型　出處：《浙江大學》2017年碩士論文

【摘要】：本文基于科技和經(jīng)濟快速發(fā)展的時代背景下,金融市場的風險傳染效應表現(xiàn)出高速和頻發(fā)等特性,采用能夠反應金融資產(chǎn)收益率序列有偏性、“尖峰厚尾”等特性的BAYES-DCC-GARCH模型,和獲得全局最優(yōu)解的MCMC參數(shù)估計方法,結合滬深300股指期貨、中證500股指期貨、上證50股指期貨和這三個股指期貨對應的股票指數(shù),以及10年國債期貨的1分鐘高頻數(shù)據(jù),研究了這些市場之間的風險傳染效應和明確了這些市場間的動態(tài)條件相關系數(shù)。并且,根據(jù)動態(tài)相關系數(shù)構建風險對沖策略進行實證研究。研究結果顯示,上述七個金融市場收益率序列確實都具有“尖峰厚尾”特征,并且這些金融市場的波動具有集聚性。此外,金融市場上一期的波動越大,波動的衰減速度越慢。其次,在縱向研究模塊,結果顯示在IC、IF、IH這三個股指期貨的波動均為右偏,而三個股票指數(shù)的波動均為左偏。在橫向研究模塊,結果顯示IC股指期貨的波動風險大于IF股指期貨、IH股指期貨的波動風險,而IH股指期貨的波動風險大于IF股指期貨的波動風險。因此,IF股指期貨是三個股指期貨中最為穩(wěn)定的市場。在跨市場研究模塊,結果顯示股指期貨市場的波動程度大于國債期貨的波動程度,而國債期貨的波動風險均大于三個股指期貨的波動風險。最后,股指期貨與對應股票指數(shù)之間,以及三個股指期貨相互之間均具有正向的金融風險傳染效應。并且,股指期貨市場相互之間的金融風險傳染效應大于股指期貨與對應股指的金融風險傳染效應。此外,三個股指期貨與國債期貨之間的金融風險傳染效應具有較小的負向傳染關系。以及,在三個股指中,根據(jù)動態(tài)相關系數(shù)構建的對沖策略均能比靜態(tài)的對沖策略具有更好的對沖效果。
[Abstract]:Based on the rapid development of science and technology and economic background, the risk contagion effect of financial market shows high speed and frequent characteristics, which can response the financial assets yield sequence bias, "BAYES-DCC-GARCH model leptokurtic" features, and obtain the global optimal solution of the MCMC parameter estimation method, combined with the Shanghai and Shenzhen 300 stock index the CSI 500 stock index futures, futures, Shanghai 50 stock index futures and the three corresponding stock index futures stock index, and the 10 year treasury bond futures in the 1 minute high-frequency data, study the risk contagion effect between these markets and the dynamic conditions of these markets. The correlation coefficient and correlation coefficient, according to the dynamic construction of risk hedge strategies for empirical research. The results of the study showed that the seven financial market returns really have "fat tail" feature, and the financial market wave Dynamic clustering. In addition, a period of financial market volatility is larger, fluctuation attenuation slower. Secondly, in the longitudinal study module, the results showed that in IC, IF, IH of the three stock index futures volatility is right, while the three stock index fluctuations are left in. The research results show that the transverse module, the risk of fluctuations in IC stock index futures stock index futures volatility risk is greater than IF, IH stock index futures, volatility risk and volatility of IH stock index futures stock index futures is greater than IF. Therefore, IF stock index futures is a stable market for the three stock index futures. In the cross market research module. The results show the volatility of the volatility of stock index futures market than the Treasury futures, volatility risk and volatility risk of treasury bond futures is greater than three of the stock index futures. Finally, between stock index futures and the corresponding stock index, stock index futures and three between both The financial risk contagion effect positive. And the financial risk contagion effect of financial contagion effect of stock index futures market between stock index futures and stock index is greater than the corresponding. In addition, the financial contagion effect between the three stock index futures and bond futures has a smaller negative contagion relationship. And, in the three stock index, according to the construction the dynamic correlation coefficient of hedge strategy can have better than static hedging strategies to hedge effect.

【學位授予單位】：浙江大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F224;F724.5;F832.51

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