本文選題：已實(shí)現(xiàn)波動(dòng)率　切入點(diǎn)：小波分析　出處：《暨南大學(xué)》2014年碩士論文

【摘要】：股票市場(chǎng)，眾所周知是國(guó)家宏觀經(jīng)濟(jì)的晴雨表。股票市場(chǎng)波動(dòng)會(huì)給整個(gè)經(jīng)濟(jì)狀況及社會(huì)穩(wěn)定帶來非常重大而深遠(yuǎn)的影響。因此從股票市場(chǎng)誕生到現(xiàn)在，股票市場(chǎng)的波動(dòng)一直是國(guó)內(nèi)外金融研究領(lǐng)域的核心組成部分，是廣大投資者和金融監(jiān)管部門重點(diǎn)關(guān)注的指標(biāo)。波動(dòng)率在統(tǒng)計(jì)學(xué)上是用來描述標(biāo)的資產(chǎn)投資回報(bào)率變化程度的，它被用來衡量資產(chǎn)的風(fēng)險(xiǎn)性。表現(xiàn)到具體的金融市場(chǎng)，，指的是金融產(chǎn)品或者證券組合價(jià)格走勢(shì)的不確定性，同樣也用來度量股票市場(chǎng)的風(fēng)險(xiǎn)。精確的預(yù)測(cè)股市波動(dòng)率，將會(huì)對(duì)金融衍生產(chǎn)品的風(fēng)險(xiǎn)管理、定價(jià)、套期保值進(jìn)而合理地構(gòu)建投資組合，以及更進(jìn)一步地健全我國(guó)證券市場(chǎng)的監(jiān)管機(jī)制等均具有非常重要的意義。 本文應(yīng)用HAR-RV-CJ的三個(gè)模型對(duì)波動(dòng)率進(jìn)行預(yù)測(cè)。HAR-RV-CJ模型預(yù)測(cè)需要將波動(dòng)率分為連續(xù)路徑和離散路徑，對(duì)跳躍行為進(jìn)行檢測(cè)。因此本文應(yīng)用在分析信號(hào)方面被譽(yù)為數(shù)學(xué)顯微鏡的小波變換來檢驗(yàn)股票收益率的跳躍行為，估計(jì)出其發(fā)生的跳躍位置，跳躍幅度，跳躍次數(shù)及跳躍方差。然后利用TSRV方法將分離出跳躍的樣本數(shù)據(jù)建立模型，去除噪聲后得到連續(xù)性波動(dòng)。從而將波動(dòng)率分為了連續(xù)樣本路徑和離散樣本路徑兩部分，最后根據(jù)得到的數(shù)據(jù)對(duì)波動(dòng)率建模。 最后，在理論和實(shí)證結(jié)合分析的基礎(chǔ)上，對(duì)本論文寫作內(nèi)容進(jìn)行進(jìn)一步的歸納和總結(jié)。并建議鑒于我國(guó)股市的實(shí)際情況和自有特色，政府需要進(jìn)一步完善信息披露機(jī)制、加快金融創(chuàng)新和加強(qiáng)風(fēng)險(xiǎn)規(guī)避機(jī)制。
[Abstract]:The stock market, as we all know, is a barometer of the country's macro-economy. Fluctuations in the stock market will have a very significant and far-reaching impact on the overall economic situation and social stability. Therefore, from the birth of the stock market to the present, The volatility of the stock market is the core component of the financial research field at home and abroad, and is the focus of the investors and the financial regulatory authorities. Volatility is used to describe the degree of change in the return on investment of the underlying assets statistically. It is used to measure the risk of an asset. It is expressed in a specific financial market, referring to the uncertainty of the price trend of a financial product or portfolio, and it is also used to measure the risk of the stock market. It will be of great significance to the risk management, pricing, hedging and rational investment portfolio construction of financial derivatives, as well as the further improvement of the regulatory mechanism of the securities market in China. In this paper, three models of HAR-RV-CJ are used to predict volatility. The prediction of volatility by HAR-RV-CJ model needs to be divided into continuous path and discrete path. Therefore, the wavelet transform, which is praised as the mathematical microscope in analyzing signal, is used to test the jump behavior of stock yield, and to estimate the jump position and jump amplitude. By using TSRV method, the jumping data are modeled, and the continuous fluctuation is obtained after noise removal. The volatility is divided into two parts: the continuous sample path and the discrete sample path, and the volatility is divided into two parts: the continuous sample path and the discrete sample path. Finally, the volatility is modeled according to the obtained data. Finally, on the basis of theoretical and empirical analysis, the author makes a further summary of the content of this paper, and suggests that in view of the actual situation and its own characteristics of China's stock market, the government needs to further improve the mechanism of information disclosure. We will speed up financial innovation and strengthen the risk aversion mechanism.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F832.51

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