本文關(guān)鍵詞：基于尺度混合方法隨機(jī)波動模型的貝葉斯模擬及應(yīng)用　出處：《長春工業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 隨機(jī)波動率 尺度混合 杠桿效應(yīng) WinBUGS軟件 貝葉斯模擬

【摘要】：實際的金融或經(jīng)濟(jì)時間序列都存在著較普遍的波動性,因此波動性是金融市場所要研究的核心問題,并且通過對波動性的研究來預(yù)測時間序列的走向,波動性可以通過金融收益率的方差來測度。波動率中包含了市場變動和投資風(fēng)險的信息�，F(xiàn)實的金融市場里,資產(chǎn)收益率序列的波動性經(jīng)常表現(xiàn)出“波動聚集”、波動率以連續(xù)的方式隨時間變化、波動率不發(fā)散到無窮即波動率在固定的范圍內(nèi)變化、波動率對價格大幅上升和大幅下降的反應(yīng)不同即“杠桿效應(yīng)”的特點,資產(chǎn)收益率的分布也表現(xiàn)出“高峰厚尾”的特性。在第二章中研究了貝葉斯理論、MCMC算法及吉布斯抽樣、介紹了本文所使用的軟件基本內(nèi)容和模型判斷準(zhǔn)則；在第三章分析了隨機(jī)波動率(SV)模型的提出及發(fā)展,給出了常見的SV模型,詳細(xì)推導(dǎo)了本文所用到的模型,研究了該模型的基本性質(zhì),并對模型進(jìn)行了模擬分析；在第四章我們對上證綜指和深圳成指進(jìn)行了實證分析,首先對兩市的收益率進(jìn)行了預(yù)處理和描述性統(tǒng)計分析,發(fā)現(xiàn)兩市的收益率都存在尖峰厚尾的性質(zhì)。然后利用本文中的模型對兩市分別進(jìn)行研究,在兩個股指中都找出了波動的異常值,這些異常值有些來自于收益,有些則來自于不可測的波動。
[Abstract]:The actual financial or economic time series have more general volatility, so volatility is the core issue to be studied in financial markets, and through the study of volatility to predict the trend of time series. Volatility can be measured by the variance of financial returns. Volatility contains information about market movements and investment risks. The volatility of asset return series often shows "volatility aggregation", volatility changes with time in a continuous way, volatility does not diverge to infinity, that is, volatility changes in a fixed range. The characteristics of "leverage effect" are different from the response of volatility to the sharp rise and fall of price. The distribution of asset return also shows the characteristic of "peak and thick tail". In the second chapter, Bayesian theory is studied. MCMC algorithm and Gibbs sampling, introduced the basic contents of the software used in this paper and model judgment criteria; In the third chapter, we analyze the development and development of the SVV model, give the common SV model, deduce the model used in this paper in detail, and study the basic properties of the model. The model is simulated and analyzed. In chapter 4th, we do empirical analysis on Shanghai Composite Index and Shenzhen Composite Index. Firstly, we do pre-processing and descriptive statistical analysis on the return rate of the two markets. It is found that the return rate of the two cities has the property of peak and thick tail. Then we use the model in this paper to study the two cities, and find out the abnormal value of volatility in the two stock indexes, some of which come from the return. Some come from unpredictable fluctuations.
【學(xué)位授予單位】：長春工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;O212.8

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本文編號：1405433