本文選題：Copula函數(shù) + t-Copula-GARCH模型�。� 參考：《昆明理工大學(xué)》2015年碩士論文

【摘要】：我國(guó)花卉業(yè)的發(fā)展一直是以傳統(tǒng)的花卉交易市場(chǎng)作為主流的,直到2002年11月12日,我國(guó)第一個(gè)花卉拍賣市場(chǎng)昆明國(guó)際花卉拍賣交易中心正式運(yùn)營(yíng),預(yù)示了新的交易方式的產(chǎn)生。針對(duì)這種全新的交易方式,我們可以對(duì)成交量和成交價(jià)格等交易數(shù)據(jù)進(jìn)行研究�；ɑ艿某山涣亢统山粌r(jià)格具有著一定的關(guān)系,同一品種不同等級(jí)的花卉成交量之間以及同一等級(jí)不同品種的花卉成交量之間也具有著一定的關(guān)系。研究這些相關(guān)性,能夠給買家、賣家、拍賣市場(chǎng)提供一定的指導(dǎo)意義,從而保證買家買到更滿意的花卉,賣家獲得更多的收益,拍賣市場(chǎng)更好的運(yùn)營(yíng)壯大。目前比較傳統(tǒng)的相關(guān)性分析方法是Granger因果關(guān)系分析和線性相關(guān)系數(shù)的分析,但這兩種分析方法只適用于有線性相關(guān)關(guān)系的變量之間,如果面對(duì)具有非線性相關(guān)關(guān)系的變量繼續(xù)使用線性相關(guān)系數(shù)來度量?jī)烧咧g相關(guān)性,則可能會(huì)出現(xiàn)誤差甚至得出錯(cuò)誤的結(jié)果。copula函數(shù)是一種將聯(lián)合分布同它們各自的邊緣分布連接在一起的函數(shù),由它推導(dǎo)出來的相關(guān)性度量方法在線性和非線性單調(diào)增變換下都保持不變,具有更廣的應(yīng)用范圍和實(shí)用性,在描述變量間的相關(guān)結(jié)構(gòu)及相關(guān)性方面擁有更多的優(yōu)勢(shì)。因此,本文運(yùn)用copula函數(shù),選擇花卉成交量和花卉成交價(jià)格這兩個(gè)變量,對(duì)成交量和成交價(jià)格之間的相關(guān)性進(jìn)行了研究,同時(shí)也選取了同一等級(jí)的卡羅拉和滿天星的成交量進(jìn)行研究,通過相關(guān)性的研究可以提醒花卉拍賣市場(chǎng)賣家在交易的時(shí)候關(guān)注某一變量出現(xiàn)上漲和下降的情況,給出了具體影響的概率值,為賣家進(jìn)行交易分析提供了量化指標(biāo),希望能夠?yàn)橘u家進(jìn)行交易分析時(shí)提供一定的理論依據(jù),提高自己的收益。本文在介紹Copula函數(shù)理論和拍賣理論的基礎(chǔ)上,通過建立copula模型來度量花卉成交量和成交價(jià)格之間的相關(guān)性。首先建立時(shí)間序列模型來分別確定花卉成交量和成交價(jià)格的邊緣分布,參照模型估計(jì)的結(jié)果對(duì)樣本數(shù)據(jù)進(jìn)行適當(dāng)?shù)奶幚?然后選用GARCH模型來模擬花卉成交量和成交價(jià)格收益率的邊緣分布,并評(píng)價(jià)了模型的擬合效果；文中選擇用Frank Copula、二元正態(tài)Copula和二元t-Copula函數(shù)來表示花卉拍賣的成交量和成交價(jià)格之間的相關(guān)結(jié)構(gòu),接下來引入經(jīng)驗(yàn)Copula函數(shù),得出了二元t-Copula函數(shù)具有最好的擬合效果。為了盡可能準(zhǔn)確地度量花卉的成交量和成交價(jià)格之間的相關(guān)結(jié)構(gòu)及相關(guān)性,本文經(jīng)過不斷篩選最終確定使用t-Copula-GARCH模型,得出拍賣市場(chǎng)花卉成交量和成交價(jià)格之間存在負(fù)相關(guān)關(guān)系,最后以卡羅拉和滿天星為例子,得出同一等級(jí)的卡羅拉和滿天星的成交量具有密切的正相關(guān)關(guān)系。這些結(jié)論同時(shí)具有理論和現(xiàn)實(shí)意義,為花卉拍賣市場(chǎng)交易者進(jìn)行花卉交易分析提供了一些有用的建議。
[Abstract]:The development of flower industry in our country has always been based on the traditional flower trade market. Until November 12, 2002, Kunming International Flower auction Center, the first flower auction market in our country, was officially put into operation, indicating the emergence of a new trade mode. In view of this new trading method, we can study the transaction data such as volume and transaction price. There is a certain relationship between the transaction volume of flowers and the transaction price, the volume of flowers of the same variety of different grades and the volume of different varieties of flowers of the same grade also has a certain relationship. The study of these correlations can give buyers, sellers, auction market to provide certain guidance significance, so as to ensure that buyers buy more satisfied flowers, sellers get more income, auction market better operation and growth. At present, the traditional correlation analysis methods are Granger causality analysis and linear correlation coefficient analysis. If a variable with a nonlinear correlation continues to use linear correlation coefficients to measure the correlation between the two, The copula function is a function that connects the joint distribution with their respective edge distributions. The method of correlation measurement derived from it is invariant in both linear and nonlinear monotone increasing transformations, and has a wider range of applications and practicability, and has more advantages in describing the correlation structure and correlation between variables. Therefore, using copula function, this paper selects the two variables of flower turnover and flower transaction price, and studies the correlation between the transaction volume and the transaction price. At the same time, we also selected the same level of Corolla and starry stars to study the transaction volume. Through the correlation study, we can remind the sellers of the flower auction market to pay attention to the rise and fall of a certain variable in the course of trading. The probability value of specific influence is given, and the quantitative index is provided for seller's transaction analysis. It is hoped that it can provide certain theoretical basis for seller's transaction analysis and improve his own income. Based on the introduction of Copula function theory and auction theory, this paper establishes a copula model to measure the correlation between the volume of flowers and the transaction price. Firstly, a time series model is established to determine the marginal distribution of the volume and price of flowers, and the sample data are processed appropriately according to the estimated results of the model. Then the GARCH model is used to simulate the marginal distribution of the volume of flowers and the rate of return of the transaction price, and the fitting effect of the model is evaluated. In this paper, Frank Copula, binary normal Copula and binary t-Copula function are chosen to express the correlation structure between the volume and the transaction price of flower auction. Then, the empirical Copula function is introduced, and the best fitting effect is obtained by introducing the bivariate t-Copula function. In order to measure the correlation structure and correlation between the volume and price of flowers as accurately as possible, this paper determines the use of t-Copula-GARCH model after continuous screening, and concludes that there is a negative correlation between the volume of flowers and the transaction price in the auction market. Finally, with the example of Carola and full Star, it is concluded that there is a close positive correlation between the turnover of Carola and the full Star of the same class. These conclusions are of both theoretical and practical significance, and provide some useful suggestions for the analysis of flower trade in flower auction market.
【學(xué)位授予單位】：昆明理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：F326.13;F724.59

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本文編號(hào)：1998106