时间序列ARCH模型在金融领域的研究

发布时间：2018-02-04 12:35

本文关键词： 时间序列 ARCH模型 GARCH模型股票市场　出处：《苏州大学》2013年硕士论文　论文类型：学位论文

【摘要】：时间序列模型对经济过程的描述和预测是经济领域中一个非常重要的方法。在现代金融领域，对金融市场价格不确定性的研究已成为一大热点。然而，在实际应用中，由于金融经济领域数据本身的特殊性，，传统的模型已经不能对其作出准确地分析和判断。恩格尔在1982年提出的自回归异方差模型(ARCH)以及该模型的拓展能定量地反映各种经济和金融行为中出现的方差变化的特点，因而ARCH族模型受到了人们的广泛重视。本文系统的介绍了ARCH模型、GARCH模型的相关理论知识，分析了模型的特征，阐述了ARCH模型的建立和检验，探讨了模型的最大似然估计的方法。在文章的最后，本文采用ARCH模型族对股市的时间序列进行研究，建立了合理的ARCH模型，并作出短期预测。通过模型的建立、计算和分析，证实了ARCH模型族的实用性和适用性。
[Abstract]:The description and prediction of economic process by time series model is a very important method in the field of economy. In the field of modern finance, the research on price uncertainty of financial market has become a hot spot. In practical application, because of the particularity of the data in the field of financial economy. The traditional model can no longer be accurately analyzed and judged. Engel's autoregressive heteroscedasticity model proposed by Engel in 1982. And the expansion of the model can quantitatively reflect the characteristics of variance changes in various economic and financial behaviors. Therefore, the ARCH family model has been paid more and more attention. This paper systematically introduces the theoretical knowledge of ARCH model, analyzes the characteristics of the model, and expounds the establishment and test of ARCH model. At the end of this paper, the ARCH model family is used to study the time series of stock market, and a reasonable ARCH model is established. Through the establishment, calculation and analysis of the model, the practicability and applicability of the ARCH model family are verified.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F830.91

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