本文關(guān)鍵詞：基于常數(shù)和門限AR-TGARCH模型的CAViaR研究　出處：《管理工程學(xué)報(bào)》2017年02期 　論文類型：期刊論文

  更多相關(guān)文章： 條件自回歸分位數(shù) 門限函數(shù) AR-TGARCH模型

【摘要】：本文對AR-TGARCH模型進(jìn)行了改進(jìn),提出門限I-AR-TGARCH模型、門限II-AR-TGARCH模型以及常數(shù)-AR-TGARCH模型,常數(shù)-門限I-AR-TGARCH模型和常數(shù)-門限II-AR-TGARCH模型,并且對中國四個(gè)股票指數(shù)2006年到2014年的數(shù)據(jù)進(jìn)行實(shí)證分析,研究結(jié)果表明門限II-AR-TGARCH模型,常數(shù)-門限I-AR-TARCH模型和常數(shù)-門限II-AR-TARCH模型均比AR-TGARCH模型要優(yōu)越,且常數(shù)-門限II-AR-TGARCH模型是最好的,常數(shù)-門限系列模型均優(yōu)于其相對應(yīng)的門限系列模型,四個(gè)指數(shù)均受到滯后風(fēng)險(xiǎn)的影響,且中小板指數(shù)和深圳成指所受到的滯后風(fēng)險(xiǎn)較小,上證指數(shù)同深圳成指具有傳導(dǎo)雙向關(guān)聯(lián)性,上證指數(shù)和深圳成指會對中小板指數(shù)產(chǎn)生影響,上證指數(shù)對臺灣加權(quán)指數(shù)具有傳導(dǎo)性,臺灣加權(quán)指數(shù)對上證指數(shù)卻沒有因果傳導(dǎo)關(guān)聯(lián)性。
[Abstract]:In this paper, the AR-TGARCH model is improved and the threshold I-AR-TGARCH model is proposed. Threshold II-AR-TGARCH model and constant AR-TGARCH model. Constant-threshold I-AR-TGARCH model and constant threshold II-AR-TGARCH model. The empirical analysis of the data of four Chinese stock indices from 2006 to 2014 shows that the threshold II-AR-TGARCH model. The constant threshold I-AR-TARCH model and the constant threshold II-AR-TARCH model are superior to the AR-TGARCH model. And the constant-threshold II-AR-TGARCH model is the best, the constant-threshold series model is superior to its corresponding threshold series model, and the four indices are affected by lag risk. And the small and medium board index and Shenzhen Cheng index suffered by the lag risk is small, the Shanghai stock market index and Shenzhen Cheng index have the conduction two-way correlation, the Shanghai stock market index and the Shenzhen Cheng index will have the influence to the small and medium-sized board index. Shanghai stock index is conductive to Taiwan weighted index, and Taiwan weighted index has no causality correlation to Shanghai stock index.
【作者單位】： 華中科技大學(xué)經(jīng)濟(jì)學(xué)院;
【基金】：國家自然科學(xué)基金資助項(xiàng)目(71171090)
【分類號】：F224;F832.51
【正文快照】： 0引言每一次金融危機(jī)的爆發(fā)都對全球經(jīng)濟(jì)產(chǎn)生了巨大的影響,從美國金融大亨索羅斯狙擊英鎊危機(jī)到1998年的東南亞金融危機(jī),特別是東南亞這次金融危機(jī)就在中國附近,且影響到了中國的香港和臺灣地區(qū),2008年的美國次貸危機(jī)更是對我國出口外貿(mào)經(jīng)濟(jì)產(chǎn)生了巨大的沖擊,導(dǎo)致了我國4萬億，

本文編號：1381602