發(fā)布時間：2018-03-18 11:36

  本文選題：時變Pair　切入點：Copula　出處：《中國科學技術大學》2017年碩士論文　論文類型：學位論文

【摘要】：本文從期貨交易所的保證金設置問題出發(fā),首先介紹了國內(nèi)外期貨交易所的保證金設置方法,包括國際上應用最為廣泛的SPAN系統(tǒng)和TIMS系統(tǒng)。接著重點介紹了 Copula函數(shù)的相關理論、性質和特點,常見的橢圓Copula族與阿基米德Copula族,Pair Copula應用最廣泛的兩種藤結構C藤和D藤,一些較為常見的Copula參數(shù)估計方法,以及傳統(tǒng)的時變相關Copula模型。隨后本文重點介紹了廣義自回歸分數(shù)模型(GAS模型),以及該模型的幾種特殊形式,并由該方法衍生出新的時變Copula模型。最后介紹了本文計算保證金的方法,利用EGARCH-t模型估計邊緣分布密度函數(shù),采用時變Pair Copula-GAS模型計算相關系數(shù),使用Monte Carlo模擬計算VaR即為保證金水平。實證方面我們選取黃金、鋅、螺紋鋼作為研究對象,使用2012年7月30日至2015年7月28日的期貨合約指數(shù)收盤價的對數(shù)收益率,總共2184個數(shù)據(jù)。從樣本的基本統(tǒng)計信息中,我們發(fā)現(xiàn)樣本具有高峰、厚尾特征,隨后我們采用EGARCH-t模型求出相應邊際分布,通過Pair Copula的C藤分解,運用GAS時變Copula來描述兩兩期貨合約之間的尾部相依結構。最后針對期貨收益率的相關性會隨市場波動而發(fā)生變化的現(xiàn)象,用時變Pair Copula來估計組合風險值,并結合蒙特卡洛模擬的方法,計算出VaR,從而求出相應保證金數(shù)量,并與常相關模型下計算的保證金數(shù)量進行比較,得出時變Pair Copula-GAS模型更為準確和優(yōu)越的結論。
[Abstract]:Starting from the issue of margin setting in futures exchanges, this paper first introduces the margin setting methods of futures exchanges at home and abroad. It includes the most widely used SPAN system and TIMS system in the world. Then, the related theories, properties and characteristics of Copula function are introduced, and the two most widely used rattan structures, C rattan and D rattan, are commonly used in the elliptical Copula family and the Archimedes Copula family. Some common Copula parameter estimation methods, as well as the traditional time-varying correlated Copula model, are introduced in this paper. Then, the generalized autoregressive fractional model gas model and several special forms of the model are introduced. A new time-varying Copula model is derived from this method. Finally, the method of calculating margin is introduced. The edge distribution density function is estimated by using EGARCH-t model, and the correlation coefficient is calculated by time-varying Pair Copula-GAS model. Using Monte Carlo to simulate and calculate VaR is the margin level. In the empirical aspect, we choose gold, zinc and rebar as the research objects, and use the logarithmic yield of the closing price of futures contract index from July 30th 2012 to July 28th 2015. From the basic statistical information of the sample, we find that the sample has the characteristics of peak and thick tail. Then we use the EGARCH-t model to calculate the corresponding marginal distribution, and decompose it by the C vine of Pair Copula. GAS time-varying Copula is used to describe the tail dependent structure between pairwise futures contracts. Finally, the time-varying Pair Copula is used to estimate the portfolio risk value. Combined with Monte Carlo simulation method, the corresponding amount of margin is calculated, and compared with the amount of margin calculated under the constant correlation model, it is concluded that the time-varying Pair Copula-GAS model is more accurate and superior.
【學位授予單位】：中國科學技術大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F224;F724.5

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本文編號：1629469