發(fā)布時(shí)間：2018-04-08 20:00

  本文選題：波動(dòng)率指數(shù)　切入點(diǎn)：GARCH模型　出處：《云南財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：波動(dòng)率是用于衡量風(fēng)險(xiǎn)的概念，廣泛應(yīng)用于資產(chǎn)定價(jià)、風(fēng)險(xiǎn)管理等領(lǐng)域，其被定義為一段時(shí)期內(nèi)收益率的標(biāo)準(zhǔn)差，投資者可以通過根據(jù)市場(chǎng)的波動(dòng)率來制定自己的投資決策。當(dāng)前世界上衡量市場(chǎng)波動(dòng)率水平最常用的是波動(dòng)率指數(shù)，世界上第一個(gè)波動(dòng)率指數(shù)是由1993年芝加哥期權(quán)交易所推出的VIX指數(shù)，發(fā)展至今已成為衡量美國(guó)股票市場(chǎng)波動(dòng)性的基準(zhǔn)指標(biāo)，目前世界上許多國(guó)家也推出了波動(dòng)率指數(shù)。目前公認(rèn)在美國(guó)市場(chǎng)上，VIX指數(shù)有三大功能：一是衡量市場(chǎng)風(fēng)險(xiǎn)；二是作為投資者恐慌指數(shù)；三是預(yù)測(cè)股市走勢(shì)的領(lǐng)先指標(biāo)。同時(shí)投資者還可以運(yùn)用VIX指數(shù)期貨和VIX指數(shù)期權(quán)等衍生品進(jìn)行風(fēng)險(xiǎn)管理和資產(chǎn)配置。 波動(dòng)率的預(yù)測(cè)有歷史波動(dòng)率法和隱含波動(dòng)率兩種方法，美國(guó)的波動(dòng)率指數(shù)是按照隱含波動(dòng)率的方法來編制的，這與其證券市場(chǎng)上成熟的期權(quán)交易背景有關(guān)，但我國(guó)當(dāng)前的市場(chǎng)上尚無期權(quán)交易，權(quán)證現(xiàn)在也退出了交易市場(chǎng)，剩下含有期權(quán)性質(zhì)的金融工具只有可轉(zhuǎn)債，但其市場(chǎng)定價(jià)往往背離其理論價(jià)格。于是本文選擇歷史波動(dòng)率法來編制滬深300指數(shù)的波動(dòng)率指數(shù)。歷史波動(dòng)率法就是利用過去的信息總結(jié)出規(guī)律，然后來預(yù)測(cè)未來。本文選用了最常用的GARCH（1,1）模型來預(yù)測(cè)波動(dòng)率，，然后編制從2006年1月4日到2013年3月4日滬深300指數(shù)的波動(dòng)率指數(shù)，通過分析我們發(fā)現(xiàn)：首先，波動(dòng)率指數(shù)作為衡量市場(chǎng)風(fēng)險(xiǎn)的指標(biāo)，對(duì)同期股票市場(chǎng)的走勢(shì)有一定的解釋能力，但與美國(guó)的波動(dòng)率指數(shù)不同的是，我國(guó)的波動(dòng)率指數(shù)與股市之間并非呈反向趨勢(shì)，此外在分析中發(fā)現(xiàn)2010年下半年以后市場(chǎng)整體的波動(dòng)性水平有所下降，這說明我國(guó)建立做空機(jī)制這一政策的有效性；其次參照CBOE的分析方法，分析發(fā)現(xiàn)當(dāng)預(yù)測(cè)波動(dòng)率較當(dāng)日出現(xiàn)大幅上漲時(shí)，下一個(gè)交易日股市通常會(huì)大幅波動(dòng)，其中出現(xiàn)下跌的概率更大，因而波動(dòng)率指數(shù)也可以作為我國(guó)的“投資者恐慌指數(shù)”；最后，通過觀察2006年以來的牛市見頂和熊市見底階段波動(dòng)率指數(shù)的走勢(shì)，發(fā)現(xiàn)波動(dòng)率指數(shù)在分析牛市見頂和熊市見底時(shí)有一定的參考意義。文章的最后基于研究結(jié)論提出相應(yīng)的政策建議：第一，研究推出波動(dòng)率指數(shù)，有助于投資者制定決策；第二，健全融資融券制度，建立更為完善的賣空機(jī)制；第三，適時(shí)推出股票期權(quán)等衍生產(chǎn)品，提升金融市場(chǎng)的運(yùn)行效率，同時(shí)是利用隱含波動(dòng)率編制波動(dòng)率指數(shù)的前提；第三是加強(qiáng)投資者教育，讓波動(dòng)率指數(shù)成為投資者衡量市場(chǎng)風(fēng)險(xiǎn)的參考，更好發(fā)揮投資者監(jiān)管的作用。
[Abstract]:Volatility is a concept used to measure risk, which is widely used in asset pricing, risk management and other fields. It is defined as the standard deviation of yield over a period of time. Investors can make their own investment decisions according to the volatility of the market.At present, the most common measure of market volatility level in the world is the volatility index. The first volatility index in the world is the VIX index launched by the Chicago options Exchange in 1993.Up to now, it has become the benchmark to measure the volatility of the U.S. stock market. At present, many countries in the world have also introduced the volatility index.It is now accepted that the VIX index has three main functions in the U.S. market: measuring market risk, acting as an index of investor panic, and forecasting leading indicators of stock market movements.Investors can also use derivatives such as VIX index futures and VIX index options for risk management and asset allocation.There are two methods to predict volatility: historical volatility method and implied volatility method. The volatility index of the United States is compiled according to the implicit volatility method, which is related to the mature background of option trading in its securities market.However, there is no option trading in the current market in our country, and the warrants have now withdrawn from the trading market, leaving only convertible bonds as the financial instruments with the nature of options, but the market pricing often deviates from its theoretical price.So this paper chooses the method of historical volatility to compile the volatility index of Shanghai and Shenzhen 300 index.Historical volatility method is to use the past information to sum up the rules and then predict the future.In this paper, we choose the most commonly used GARCH1) model to predict volatility, and then compile the volatility index of CSI 300 from January 4, 2006 to March 4, 2013. Through the analysis, we find that: first,Volatility index, as a measure of market risk, has a certain ability to explain the trend of stock market in the same period. However, unlike the volatility index of the United States, the volatility index and stock market in China do not show a reverse trend.In addition, it is found that the volatility level of the market as a whole has decreased after the second half of 2010, which shows the effectiveness of the policy of establishing a short selling mechanism in China. Secondly, referring to the analysis method of CBOE,The analysis shows that when the forecast volatility is higher than that of the same day, the stock market usually fluctuates sharply in the next trading day, and the probability of falling is higher. Therefore, the volatility index can also be used as the "investor panic index" in our country.By observing the trend of volatility index in bull market and bear market since 2006, it is found that volatility index has a certain reference significance in analyzing bull market peak and bear market bottom.Finally, based on the conclusions of the paper, the corresponding policy recommendations are put forward: first, research on the introduction of volatility index to help investors make decisions; second, improve the margin financing system, establish a more perfect short selling mechanism; third,Timely introduction of derivative products such as stock options to improve the operational efficiency of the financial market, at the same time is the use of implied volatility to compile volatility index premise; third, strengthen investor education,Let volatility index as a reference for investors to measure market risk, better play the role of investor regulation.
【學(xué)位授予單位】：云南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 王獻(xiàn)東;;基于GARCH模型的波動(dòng)率預(yù)測(cè)及應(yīng)用[J];常州工學(xué)院學(xué)報(bào);2011年06期

2 劉莉,唐小我;股票指數(shù)波動(dòng)率的估計(jì)方法及其應(yīng)用[J];電子科技大學(xué)學(xué)報(bào);2000年03期

3 楊勝剛;汪琛德;;全球股指期貨與期權(quán)市場(chǎng)的發(fā)展動(dòng)向及啟示[J];國(guó)際金融研究;2006年11期

4 廖士光;楊朝軍;;賣空交易機(jī)制、波動(dòng)性和流動(dòng)性——一個(gè)基于香港股市的經(jīng)驗(yàn)研究[J];管理世界;2005年12期

5 于孝建;;融資融券交易對(duì)中國(guó)股市流動(dòng)性和波動(dòng)性的影響——以滬市為例[J];華南理工大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2012年02期

6 倪英子;陳信華;;資產(chǎn)價(jià)格波動(dòng)率指數(shù)及其交易[J];上海經(jīng)濟(jì)研究;2011年01期

7 潛力;胡援成;;股指期貨對(duì)A股波動(dòng)性的影響[J];經(jīng)濟(jì)經(jīng)緯;2012年03期

8 黃上國(guó);胡舜;付強(qiáng);;從波動(dòng)率指數(shù)看芝加哥期權(quán)交易所的創(chuàng)新能力[J];金融理論與實(shí)踐;2008年09期

9 郭寧;;VIX指數(shù)與有色金屬期貨價(jià)格關(guān)系的實(shí)證分析[J];中國(guó)金屬通報(bào);2011年13期

10 廖士光;;融資融券交易價(jià)格發(fā)現(xiàn)功能研究——基于標(biāo)的證券確定與調(diào)整的視角[J];上海立信會(huì)計(jì)學(xué)院學(xué)報(bào);2011年01期

本文編號(hào)：1723120