波幅指数对恒生指数总波动及跳跃成分的预测研究

发布时间：2018-05-08 14:45

本文选题：波幅指数 + 跳跃　；参考：《西南交通大学》2013年硕士论文

【摘要】：在金融经济相关研究之中,波动率是非常重要的关键变量,对资产报酬波动的预测是众多的投资决定的关键前提信息。在投资组合交易策略、风险控制、金融衍生品资产定价以及制定货币政策之中,我们都需要波动率这个关键信息。因此,对于市场波动率的预测,是金融市场的一个重大的研究任务。本文选取基于无模型隐含波动率计算而得的波幅指数VHSI为研究对象,实证研究发现：在应用包含回归法时,实证发现波幅指数VHSI包含信息量涵括了GARCH、 GJR-GARCH波动率模型所含信息量；对于波幅指数VHSI预测是否包含SV模型所含信息,此方法不能够得出肯定的结论；在应用正交法时,实证发现不管是否考虑时变波动风险溢价,波幅指数VHSI的预测对它本身的历史波动信息都是有效的,而且波幅指数VHSI的预测所含信息量能够全部涵括历史波动率模型所含信息；不管风险溢价是恒定风险溢价还是时变风险溢价,波幅指数VHSI都包含了历史跳跃信息；与基于计量模型的历史波动率模型相比,波幅指数VHSI反映了一些有关未来跳跃行为的增量信息。因此可以说,波幅指数VHSI是对未来市场波动率的一个有效预测。
[Abstract]:Volatility is a very important key variable in financial and economic research, and the prediction of asset return volatility is the key premise of many investment decisions. In portfolio trading strategies, risk control, asset pricing for financial derivatives and monetary policy, we all need the key message of volatility. Therefore, the prediction of market volatility is an important research task of financial market. In this paper, the amplitude index (VHSI), which is based on the calculation of model-free implied volatility, is selected as the research object. The empirical study finds that the amplitude index VHSI includes the information of GJR-GARCH and GJR-GARCH volatility model when the inclusion regression method is applied. As to whether the amplitude index VHSI prediction contains the information contained in SV model, this method can not draw a definite conclusion. In the application of orthogonal method, it is found that whether or not time-varying volatility risk premium is considered or not, The prediction of amplitude index VHSI is effective for its own historical fluctuation information, and the amount of information contained in the prediction of amplitude index VHSI can include all the information contained in the historical volatility model. Regardless of whether the risk premium is a constant risk premium or a time-varying risk premium, the amplitude index VHSI contains historical jump information, compared with the historical volatility model based on the econometric model. The amplitude index VHSI reflects some incremental information about future jump behavior. Therefore, the amplitude index VHSI is an effective prediction of the market volatility in the future.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91;F224

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