金融时间序列波动协同持续理论及其应用研究

发布时间：2018-04-20 03:40

本文选题：关键字 + 方差持续　；参考：《上海理工大学》2012年硕士论文

【摘要】：本文发现并分析了Bollerslev和Engle[9]提出的用多元向量GARCH模型分析波动协同持续理论的四个缺陷,导致这一理论难以在金融市场中应用,为此我们提出方差持续性、方差协同持续弱定义。并提出以衰减系数的半衰期作为持续性指标，用穷举搜索算法很好地克服了多元向量GARCH模型的缺陷。此算法还可以详细分析随机过程任意子集的协同持续性质，最后实证了欧洲10个国家两两之间股市波动协同持续关系,发现只有7个国家与别的国家的股市有波动协同持续关系，我们并从三维角度研究了三个地区内部各自股市的协同持续关系。结论显示德语区里有1对国家股市波动协同持续（德国-奥地利），法语区内各国家股市之间无波动协同持续关系，斯堪的那维亚语区里有1对国家股市波动协同持续（丹麦-挪威）；德语区国家与法语区之间有2对国家股市协同持续，德语区与斯堪的那维亚语区之间有3对国家股市协同持续。法语区与斯堪的那维亚语区之间没有国家股市波动协同持续的。本论文还论证了协同持续与套期保值的关系，，我们发现协同持续率可以被看作是长期套期保值率。我们用穷举搜索算法得出协同持续率，并在此基础上提出了一种新的套期保值方法：综合考虑协同持续性和最小化方差。既可以提高套期保值绩效指标，又可以降低套期保值组合方差持续性。最后我们用嘉实300指数和沪深300指数期货的套期保值为数据进行了实证分析，结果显示这一新套期保值方法有明显的优点。
[Abstract]:In this paper, we find and analyze four defects of the theory of volatility synergetic persistence by using multivariate vector GARCH model proposed by Bollerslev and Engle [9], which makes it difficult to apply this theory in the financial market. For this reason, we propose the definition of variance persistence and variance synergistic persistence weakly. Taking the half-life of the attenuation coefficient as the persistence index, the exhaustive search algorithm is used to overcome the defects of the multivariate vector GARCH model. This algorithm can also analyze the synergetic persistence of any subset of stochastic processes in detail. Finally, the synergistic persistence of stock market volatility between 10 countries in Europe is demonstrated. It is found that only 7 countries have volatility synergistic persistence relationship with other countries. We also study the three-dimensional stock market synergy-persistence relationship within the three regions. The results show that there are 1 pairs of countries in the German-speaking region that have a synergistic and sustained volatility (German-Austrian, French-speaking countries do not have a synergetic relationship between them). In the Scandinavian language Community, one pair of national stock market volatility has been synergistically sustained (Danish-Norway; two pairs of national stock markets have been coordinated between the German-speaking and French-speaking communities, Between the German-speaking and Scandinavian communities, there are three pairs of national stock markets that continue in tandem. There is no national stock market volatility between the French-speaking and Scandinavian communities. This paper also demonstrates the relationship between synergistic persistence and hedging. We find that synergistic persistence can be regarded as long-term hedging rate. Based on the exhaustive search algorithm, we propose a new hedging method: considering the synergistic persistence and minimizing the variance. It can not only improve the hedge performance index, but also reduce the variance persistence of hedging portfolio. In the end, we use the futures hedging of Casheng 300 Index and CSI 300 Index for empirical analysis. The results show that this new hedging method has obvious advantages.
【学位授予单位】：上海理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.91;F224

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