本文關(guān)鍵詞： 量?jī)r(jià)關(guān)系 馬爾科夫 MRS-GARCH模型 馬爾科夫狀態(tài)轉(zhuǎn)移混合Copula模型 極大似然估計(jì)　出處：《西南交通大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：伴隨著經(jīng)濟(jì)的飛速發(fā)展,經(jīng)濟(jì)全球化與金融一體化促使金融各個(gè)市場(chǎng)之間的相互依存性大大地增強(qiáng),市場(chǎng)與金融資產(chǎn)之間的相關(guān)關(guān)系也變得越來(lái)越復(fù)雜。中國(guó)股市歷經(jīng)二十多年的風(fēng)雨,已經(jīng)趨于完善和成熟,其股票的量?jī)r(jià)之間的關(guān)系呈現(xiàn)了非線性、非對(duì)稱(chēng)性等模式。 本文主要研究了基于狀態(tài)轉(zhuǎn)移GARCH模型(MRS-GARCH模型)與狀態(tài)轉(zhuǎn)移混合Copula模型下的中國(guó)股市量?jī)r(jià)關(guān)系。利用狀態(tài)轉(zhuǎn)移來(lái)刻畫(huà)股票市場(chǎng)的價(jià)格與成交量的狀態(tài)變化過(guò)程,并選取了GARCH模型和混合Copula模型,然后把它們分別與馬爾科夫狀態(tài)轉(zhuǎn)移相結(jié)合的方法,對(duì)中國(guó)股市的上證指數(shù)和房地產(chǎn)板塊指數(shù)進(jìn)行相關(guān)建模分析。 根據(jù)股票的價(jià)格和成交量所具有的尖峰厚尾特性,對(duì)其建立了MRS-GARCH模型,并通過(guò)擬合優(yōu)度檢驗(yàn)證明用此模型是合理的。在實(shí)證分析中,把GARCH模型與MRS-GARCH模型通過(guò)AIC值進(jìn)行比較,結(jié)果表明MRS-GARCH模型對(duì)刻畫(huà)股市的量?jī)r(jià)關(guān)系更好一些,并且由參數(shù)估計(jì)值知：中國(guó)股市中成交量對(duì)價(jià)格波動(dòng)具有一定解釋作用,且中國(guó)股市的上證指數(shù)和房地產(chǎn)板塊指數(shù)出現(xiàn)了不同的波動(dòng)狀態(tài)。雖然GARCH模型在實(shí)際應(yīng)用中具有非常多的優(yōu)點(diǎn),但是它不能對(duì)量?jī)r(jià)關(guān)系的非對(duì)稱(chēng)性和尾部結(jié)構(gòu)較好地刻畫(huà),在研究量?jī)r(jià)關(guān)系時(shí)必須充分考慮兩個(gè)隨機(jī)變量間的局部相關(guān)結(jié)構(gòu)及差異性。鑒于此,本文利用了狀態(tài)轉(zhuǎn)移混合Copula模型進(jìn)行了相關(guān)分析,并且利用極大似然估計(jì)的方法,對(duì)該模型的參數(shù)進(jìn)行了估計(jì),最后通過(guò)蒙特卡洛模擬的方法對(duì)模型進(jìn)行了檢驗(yàn),得出了很好的結(jié)論。實(shí)證結(jié)果表明用馬爾科夫狀態(tài)轉(zhuǎn)移混合Copula模型刻畫(huà)中國(guó)股市的量?jī)r(jià)相關(guān)結(jié)構(gòu)是十分合理的,能夠捕捉到在不同波動(dòng)狀態(tài)下量?jī)r(jià)之間的非對(duì)稱(chēng)、非線性及尾部結(jié)構(gòu)關(guān)系,比MRS-GARCH模型具有更大的優(yōu)越性。
[Abstract]:With the rapid development of economy, economic globalization and financial integration promote the mutual dependence of various financial markets greatly enhanced. The relationship between the market and financial assets has become more and more complex. After more than 20 years of wind and rain, Chinese stock market has become more and more perfect and mature. Asymmetrical isoforms. This paper mainly studies the MRS-GARCH model based on state transition GARCH model. The relationship between volume and price of Chinese stock market under the mixed Copula model of state transition. The state transition is used to describe the state change process of price and trading volume in stock market. The GARCH model and the mixed Copula model are selected, and then they are combined with Markov state transition. Shanghai Stock Exchange Index and Real Estate Plate Index of Chinese stock market are modeled and analyzed. According to the characteristics of stock price and volume, the MRS-GARCH model is established, and the goodness of fit test proves that the model is reasonable. Comparing GARCH model with MRS-GARCH model through AIC, the result shows that MRS-GARCH model is better for describing the relationship between volume and price of stock market. And from the parameter estimate, we know that the trading volume in the Chinese stock market has a certain explanatory effect on the price fluctuation. And the Shanghai stock index and real estate sector index of Chinese stock market have different fluctuation state, although GARCH model has many advantages in practical application. However, it can not describe the asymmetry and tail structure of the relationship between quantity and price. In order to study the relationship of quantity and price, the local correlation structure and the difference between two random variables must be fully considered. In this paper, the state transition mixed Copula model is used to analyze the correlation, and the maximum likelihood estimation method is used to estimate the parameters of the model. Finally, the model is tested by Monte Carlo simulation. The empirical results show that it is very reasonable to use Markov state transition mixed Copula model to describe the volume and price correlation structure of Chinese stock market. It can capture the asymmetric, nonlinear and tail structure relationships between quantities and prices under different fluctuating states, which is superior to the MRS-GARCH model.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F830.91;O211.62

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 華仁海,丁秀玲;我國(guó)股票市場(chǎng)收益、交易量、波動(dòng)性動(dòng)態(tài)關(guān)系的實(shí)證分析[J];財(cái)貿(mào)經(jīng)濟(jì);2003年12期

2 韋艷華,張世英;金融市場(chǎng)的相關(guān)性分析——Copula-GARCH模型及其應(yīng)用[J];系統(tǒng)工程;2004年04期

3 徐曉肆;任若恩;;Copula及其在貸款風(fēng)險(xiǎn)管理中的應(yīng)用[J];管理工程學(xué)報(bào);2006年01期

4 王春峰;韓冬;蔣祥林;;基于信息非對(duì)稱(chēng)模型的交易行為與波動(dòng)性關(guān)系研究——交易規(guī)模和交易頻率[J];管理工程學(xué)報(bào);2007年01期

5 王沁;;生成Copula的兩種簡(jiǎn)單方法[J];浙江大學(xué)學(xué)報(bào)(理學(xué)版);2006年02期

6 陳怡玲,宋逢明;中國(guó)股市價(jià)格變動(dòng)與交易量關(guān)系的實(shí)證研究[J];管理科學(xué)學(xué)報(bào);2000年02期

7 趙留彥,王一鳴;滬深股市交易量與收益率及其波動(dòng)的相關(guān)性:來(lái)自實(shí)證分析的證據(jù)[J];經(jīng)濟(jì)科學(xué);2003年02期

8 鄭方鑣;吳超鵬;吳世農(nóng);;股票成交量與收益率序列相關(guān)性研究——來(lái)自中國(guó)股市的實(shí)證證據(jù)[J];金融研究;2007年03期

9 何興強(qiáng),劉醒云;我國(guó)股市波動(dòng)非對(duì)稱(chēng)性和混合分布假定的經(jīng)驗(yàn)分析[J];南開(kāi)經(jīng)濟(jì)研究;2005年03期

10 李秀敏;史道濟(jì);;滬深股市相關(guān)結(jié)構(gòu)分析研究[J];數(shù)理統(tǒng)計(jì)與管理;2006年06期

相關(guān)博士學(xué)位論文 前1條

1 何海鷹;基于Copula理論的信用風(fēng)險(xiǎn)研究[D];廈門(mén)大學(xué);2009年

，

本文編號(hào)：1441958