發(fā)布時(shí)間：2018-05-12 18:42

  本文選題：多元GARCH + 行業(yè)指數(shù)�。� 參考：《西南財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：在一個(gè)經(jīng)濟(jì)體系之中,各個(gè)行業(yè)形成了一個(gè)相互影響的復(fù)雜系統(tǒng)。為了探討行業(yè)指數(shù)收益率之間的波動溢出特點(diǎn)并進(jìn)行風(fēng)險(xiǎn)性分析,本文將選擇應(yīng)用基于多元GARCH模型的VaR方法,在能很好地刻畫出行業(yè)指數(shù)的波動性特征的基礎(chǔ)上,同時(shí)也能有效地測度風(fēng)險(xiǎn)。 本文以上海證券的行業(yè)板塊指數(shù)為研究對象,選擇農(nóng)林牧漁、食品飲料、建筑建材、房地產(chǎn)、交運(yùn)設(shè)備、交通運(yùn)輸、金融服務(wù)、商業(yè)貿(mào)易以及餐飲旅游九個(gè)行業(yè)指數(shù)進(jìn)行行業(yè)間動態(tài)性分析。本文將按照產(chǎn)業(yè)鏈上下游關(guān)系把上海證券中的九個(gè)行業(yè)板塊指數(shù)分成六組,研究具有產(chǎn)業(yè)鏈關(guān)系的行業(yè)間的動態(tài)關(guān)系,由此也可以對行業(yè)所代表的產(chǎn)業(yè)間的產(chǎn)業(yè)鏈關(guān)系和整個(gè)宏觀經(jīng)濟(jì)結(jié)構(gòu)的內(nèi)在關(guān)系有一定的說明闡釋意義,對人們在金融投資中行業(yè)的選擇、金融風(fēng)險(xiǎn)管理有一定的借鑒意義。 在實(shí)證的部分,分別對每組序列建立多元GARCH模型,通過對其波動率變化情況和時(shí)變相關(guān)圖的綜合比較,由此對六個(gè)序列組彼此之間的波動溢出情況做出詳盡的分析,得出中國經(jīng)濟(jì)中不同行業(yè)間波動溢出效應(yīng)不同的特征,從而為投資者在行業(yè)之間的投資選擇提供了一定借鑒意義,比如給予了這樣的借鑒意義：對于具有波動率增加導(dǎo)致時(shí)變相關(guān)系數(shù)也同樣增加的波動溢出效益特征的行業(yè)組,可以在遇到市場波動率增加的時(shí)候選擇這樣的行業(yè)組合去追求風(fēng)險(xiǎn)收益,而為了規(guī)避風(fēng)險(xiǎn)則應(yīng)避免這樣的選擇；對于具有波動率增加導(dǎo)致時(shí)變相關(guān)系數(shù)減小的波動溢出效益特征的行業(yè)組,則為在遇到市場波動率增加的時(shí)候提供了降低風(fēng)險(xiǎn)的選擇；最后利用波動溢出分析過程在所建立的二元GARCH模型下結(jié)合風(fēng)險(xiǎn)度量制方法分別對六組行業(yè)指數(shù)序列進(jìn)行了多頭頭寸VaR值的計(jì)算與比較,從本文的分析可以認(rèn)為我國在二三產(chǎn)業(yè)中的行業(yè)可能相較而言有更大風(fēng)險(xiǎn),同樣對行業(yè)投資提供了一定的借鑒意義。
[Abstract]:In an economic system, industries form a complex system of interaction. In order to study the volatility spillover characteristics among the industry index returns and analyze the risk, this paper will choose to apply the VaR method based on the multivariate GARCH model, on the basis of which the volatility characteristics of the industry index can be well described. At the same time, it can measure the risk effectively. In this paper, the industry sector index of Shanghai Securities as the research object, select agriculture, forestry, animal husbandry, food and beverage, building materials, real estate, transportation equipment, transportation, financial services, Nine industry indices of commercial trade and catering tourism are analyzed in terms of inter-industry dynamics. In this paper, according to the upstream and downstream relationships of the industrial chain, the nine industry sector indices in Shanghai Securities are divided into six groups to study the dynamic relationship between industries with industrial chain relationship. It can also explain the industrial chain relationship between industries and the internal relationship of the whole macroeconomic structure. It can be used for reference to the choice of industry in financial investment and financial risk management. In the empirical part, the multivariate GARCH model is established for each sequence, and the volatility variation and time-varying correlation graph are compared synthetically to make a detailed analysis of the volatility spillover between the six sequence groups. The characteristics of volatility spillover effects among different industries in Chinese economy are obtained, which provide some reference for investors to choose their investment in different industries. For example, it can be used for reference: for industry groups with the characteristics of volatility increasing and time-varying correlation coefficient increasing as well as volatility spillover benefits, We can choose this kind of industry combination to pursue the risk return when the market volatility increases, but in order to avoid the risk, we should avoid this choice; For the industry groups with the characteristics of volatility increasing and time-varying correlation coefficient decreasing, the risk reduction options are provided when the market volatility increases. Finally, by using the volatility spillover analysis process under the established binary GARCH model and the risk measurement method, we calculate and compare the VaR value of the long positions in six groups of industry index series. From the analysis of this paper, it can be concluded that the industry of our country in the secondary and tertiary industries may have more risk than that of the industry, and it also provides a certain reference for the investment of the industry.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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本文編號：1879714