基于MRS-GARCH族模型的国际主要股指波动比较研究

发布时间：2018-01-01 10:18

本文关键词：基于MRS-GARCH族模型的国际主要股指波动比较研究　出处：《南京航空航天大学》2012年硕士论文　论文类型：学位论文

【摘要】：以我国内地多层次股市为主要研究对象，建立MRS-GARCH族模型（GARCH、EGARCH、PARCH以及MRS-GARCH四种模型，残差分别服从正态分布、t分布以及GED分布），以此对上证综指、中小板指以及创业板指的日收益率进行统计拟合分析,并综合研究标普500指数以及香港恒生指数，进行国际角度的股指波动比较。研究发现若从AIC和Log（L）(对数似然函数值)两个指标进行评估，PARCH-t是拟合上证综指收益率序列的最佳模型，GARCH-t对于中小板收益率序列则是有较好的拟合效果，对于创业板，从AIC角度看，GARCH-t表现最优，MRS-GARCH-N以及GARCH-N表现次之，从对数似然函数值（Log(L)）的角度看，PARCH-GED表现最佳，GARCH-M-t和GARCH-GED表现次之，反映了创业板作为新生板块，其波动的内在特征还不稳定，使得不同角度下衡量的拟合结果不尽相同。此外，PARCH-t也是拟合标普500指数的最佳模型，PARCH-GED对于恒生指数则是有较好的拟合效果，至于研究的重点—MRS-GARCH-N模型表现不佳，很大可能是因为模型是基于正态分布。从波动的衰减性、风险收益特征以及不对称效应等角度衡量，发现股权分置改革后的内地主板市场其波动特征更接近于美国、香港等成熟市场，股权分置改革的顺利完成确实是中国股票交易市场由新兴市场迈向成熟市场的助推器，虽然改革进程饱受争议，此项改革确实使得中国多层次股票市场的发展受益匪浅。最后提出基于CDS（conditional standard deviation，条件标准差）的过度波动计量模型，选取上证综指与中小板指、上证综指与标普500指数两组作为研究对象进行实证研究，以特定的指数序列样本进行比较分析。从实证分析的结果看，在所选取的样本期间内，中小板相对于主板确实是存在过度波动（存在泡沫以及过度下跌的情形）的，，而内地主板相对美国主板是存在过度波动的，这些实证分析的结果与现实股市走势相吻合，表明了此过度波动计量模型是具有适用性和正确性的。
[Abstract]:Taking the multi-level stock market in the mainland of China as the main research object, four kinds of MRS-GARCH family models, MRS-GARCH family model and MRS-GARCH model, are established. The residuals are divided into normal distribution and GED distribution to analyze the daily yield of Shanghai Composite Index, small and medium board index and growth Enterprise Board Index. A comprehensive study of the S & P 500 index and Hong Kong's Hang Seng Index, the international perspective of the index volatility comparison. It is found that PARCH-t is the best model to fit the yield series of Shanghai Composite Index if we evaluate it from two indexes: AIC and Log-Ln (log-likelihood function). GARCH-t has a good fitting effect for small and medium board return sequence, and for gem, GARCH-t performance is the best from the AIC point of view. MRS-GARCH-N and GARCH-N were the second, and PARCH-GED performed best from the point of view of logarithmic likelihood function. GARCH-M-t and GARCH-GED performance followed, reflecting the gem as a new plate, the inherent characteristics of volatility is not stable. In addition, PARCH-t is the best model to fit the S & P 500 index. PARCH-GED has a good fitting effect for Hang Seng Index, and the focus of the study -MRS-GARCH-N model is not good, it is probably because the model is based on normal distribution. From the point of view of the attenuation of volatility, the characteristics of risk return and asymmetric effect, it is found that the volatility characteristics of the mainland main board market after the split share structure reform are closer to the mature markets such as the United States and Hong Kong. The successful completion of the split share structure reform is indeed a booster for China's stock market to move from emerging market to mature market, although the reform process is controversial. This reform really benefits the development of China's multi-level stock market. Finally, an excessive volatility measurement model based on CDS(conditional standard deviation (conditional standard deviation) is proposed, and Shanghai Composite Index and small and medium board index are selected. Shanghai Composite Index and S & P 500 index as two groups of empirical research, with specific index series samples for comparative analysis. From the results of empirical analysis, in the selected sample period. The small and medium-sized boards are indeed excessive volatility relative to the main board (there is a bubble and excessive decline), while the mainland motherboard relative to the United States motherboard is excessive volatility. The results of these empirical analyses are consistent with the trend of the real stock market, which indicates that the model is applicable and correct.
【学位授予单位】：南京航空航天大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F831.5;F224

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