基于ARMA-GARCH模型的股指波动压力测试情景设计研究

发布时间：2018-01-14 15:08

本文关键词：基于ARMA-GARCH模型的股指波动压力测试情景设计研究　出处：《当代财经》2011年11期 　论文类型：期刊论文

【摘要】：针对股指收益率时间序列某期间的异方差、尖峰厚尾以及序列自相关等特性,将ARMA模型与GARCH模型相结合,回归建模测算相关股指年度收益率VaR值,可以有效预测类似市场条件下股指的波动以及相伴概率。因此,在证券公司压力测试实践中,基于相伴概率合理设计股指下跌的压力测试情景,可以进一步提高压力测试情景设计的科学性,增强压力测试结果的现实指导意义。同时,可以将本文研究思路推广应用于利率、汇率、市场交易量等历史数据较充分的金融时间序列的实证分析,借以指导债市波动、汇市波动以及市场交易量波动等压力测试情景的设计工作。
[Abstract]:According to the characteristics of heteroscedasticity, peak thick tail and autocorrelation of stock index return time series, the ARMA model and GARCH model are combined. Regression modeling can effectively predict the volatility and associated probability of the stock index under similar market conditions. Therefore, in the practice of securities company stress testing. Reasonable design of stress test scenarios based on associated probability can further improve the scientific design of stress test scenarios and enhance the practical significance of stress test results. This study can be extended to the interest rate, exchange rate, market trading volume and other historical data of the financial time series empirical analysis, in order to guide the bond market volatility. Design of pressure test scenarios such as foreign exchange market fluctuation and market trading volume fluctuation.
【作者单位】：中南大学商学院;
【分类号】：F224;F832.51
【正文快照】： —————————当代财经Contemporary FinanceEconomics一、引言近年来,在中国证监会的大力推动下,证券公司逐步建立起压力测试机制,不断提高风险监测、预警和管理能力。在中国证券行业尚未彻底摆脱“靠天吃饭”的现况下,股指波动对证券公司经纪、自营、证券承销与保荐

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