本文選題：“已實現(xiàn)”波動率　切入點：Realized　出處：《天津商業(yè)大學》2017年碩士論文

【摘要】：自改革開放以來,隨著市場機制的不斷完善,我國資本市場有了較大的發(fā)展。作為國有企業(yè)改革的主要途徑,股票市場已經(jīng)成為國有企業(yè)進行機制改革和融資的重要場所。股票市場不僅在推動國民經(jīng)濟持續(xù)增長上發(fā)揮了不可替代的作用,同時也對世界經(jīng)濟一體化影響巨大。與傳統(tǒng)的市場相比,股票市場是充滿了不確定性的市場,信息的披露、資本的流動會導致股票市場的價格出現(xiàn)波動,使投資者們對其難以把控。劇烈的股票價格波動增加了投資者的投資風險,會給投資者們帶來損失。因此,對股票市場價格波動的研究是十分重要且十分有意義的。本文使用數(shù)理工具和計量方法,對我國的證券市場特征進行描述和預測,揭示其內(nèi)在規(guī)律。通過對股票價格波動率的建模分析,加深對股票價格波動實質(zhì)的認識,把握未來股票市場的趨勢,同時發(fā)現(xiàn)我國股票市場有可能存在的問題,并提出相應的改進措施。再進一步,通過理論結(jié)果與現(xiàn)實結(jié)果相比較,發(fā)現(xiàn)理論與實際不一致的地方,進而對所使用的模型可能存在的缺陷進行改進。其中,在對收益率的描述性統(tǒng)計分析中,除了對其主要指標包括均值、標準差、偏度、峰度的分析外,還發(fā)現(xiàn)其波動具有聚集性和周期性。從結(jié)果中可以看出,收益率序列呈現(xiàn)了尖峰厚尾的特征。在對“已實現(xiàn)”測度進行比較時,不同頻率所得到的“已實現(xiàn)”方差也呈現(xiàn)出不同的特征,時間間隔越小,頻率越大,序列的均值就越小。其中,5分鐘時間間隔下的“已實現(xiàn)”方差與“已實現(xiàn)”核估計的各項特征十分接近。收益率序列的波動具有聚集性,即在一個較大幅度的波動后會跟隨著另一個較大幅度的波動,在一個較小幅度的波動后也同樣會跟隨另一個較小幅度的波動。而其周期性,主要體現(xiàn)在與宏觀經(jīng)濟周期相吻合。在Skewed-T Realized GARCH模型的實證分析中,我們通過模型對數(shù)據(jù)的擬合優(yōu)度進行比較,確立了最佳的模型滯后階數(shù)和最優(yōu)分布,同時也利用信息沖擊曲線等工具,分析了波動的非對稱效應。在對模型的預測能力的分析上,通過與SkewedNormal Realized GARCH和傳統(tǒng)EGARCH模型的比較分析,分別從樣本內(nèi)預測和樣本外預測兩個方面驗證了Skewed-T Realized GARCH的優(yōu)越性。Skewed-T Realized GARCH模型的優(yōu)越之處在于新引入的“已實現(xiàn)”測度,而其原因在于波動率本身是劇烈波動的,而傳統(tǒng)的EGARCH模型在收益率層面上是一個簡單的ARMA過程,對于迅速變動的波動率序列擬合能力弱。而“已實現(xiàn)”測度可以對日內(nèi)波動率的變動做出迅速的反應,使得參與擬合的序列能夠包含日內(nèi)波動率變化的信息。
[Abstract]:Since the reform and opening up, with the continuous improvement of the market mechanism, China's capital market has developed greatly. The stock market has become an important place for state-owned enterprises to carry out mechanism reform and financing. The stock market has not only played an irreplaceable role in promoting the sustained growth of the national economy. Compared with the traditional market, the stock market is full of uncertainty. The disclosure of information and the flow of capital will lead to the fluctuation of the price of the stock market. Make it difficult for investors to control. Sharp stock price fluctuations increase investors' investment risk and bring losses to investors. It is very important and meaningful to study the price fluctuation of stock market. In this paper, we use mathematical tools and measurement methods to describe and predict the characteristics of securities market in China. Through modeling and analyzing the volatility rate of stock price, we can deepen the understanding of the essence of the fluctuation of stock price, grasp the trend of stock market in the future, and find out the possible problems in the stock market of our country at the same time. And put forward the corresponding improvement measures. Further, by comparing the theoretical results with the practical results, we find that the theory is inconsistent with the practice, and then improve the possible defects of the model used. In the descriptive statistical analysis of the return rate, in addition to the analysis of the mean, standard deviation, deviation and kurtosis, it is also found that the volatility has aggregation and periodicity. When comparing the "realized" measure, the "realized" variance obtained from different frequencies also shows different characteristics. The smaller the time interval, the greater the frequency. The smaller the mean value of the sequence is, the closer the realized variance is to the kernel estimation at 5-minute intervals, and the volatility of the return series is convergent. That is, it follows another larger fluctuation after one larger fluctuation, and also follows another smaller fluctuation after one smaller fluctuation, and its periodicity, In the empirical analysis of the Skewed-T Realized GARCH model, we compare the goodness of fit of the data, and establish the best model lag order and optimal distribution. At the same time, the asymmetric effect of volatility is analyzed by means of information shock curve. The prediction ability of the model is compared with that of SkewedNormal Realized GARCH and traditional EGARCH model. The superiority of Skewed-T Realized GARCH in Skewed-T Realized GARCH model is verified from two aspects of intra-sample prediction and out-of-sample prediction, respectively. The advantage of Skewed-T Realized GARCH model lies in the newly introduced "realized" measure, and the reason is that volatility itself is highly fluctuating. On the other hand, the traditional EGARCH model is a simple ARMA process at the return level, which is weak for the rapidly changing volatility series, and the "realized" measure can react rapidly to the intraday volatility changes. So that the series involved in the fitting can contain information about intraday volatility changes.
【學位授予單位】：天津商業(yè)大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51;F224

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