基于高频数据的金融市场风险传染和动态对冲研究

发布时间：2018-03-25 01:37

本文选题：高频数据　切入点：BAYES-DCC-GARCH模型　出处：《浙江大学》2017年硕士论文

【摘要】：本文基于科技和经济快速发展的时代背景下,金融市场的风险传染效应表现出高速和频发等特性,采用能够反应金融资产收益率序列有偏性、“尖峰厚尾”等特性的BAYES-DCC-GARCH模型,和获得全局最优解的MCMC参数估计方法,结合沪深300股指期货、中证500股指期货、上证50股指期货和这三个股指期货对应的股票指数,以及10年国债期货的1分钟高频数据,研究了这些市场之间的风险传染效应和明确了这些市场间的动态条件相关系数。并且,根据动态相关系数构建风险对冲策略进行实证研究。研究结果显示,上述七个金融市场收益率序列确实都具有“尖峰厚尾”特征,并且这些金融市场的波动具有集聚性。此外,金融市场上一期的波动越大,波动的衰减速度越慢。其次,在纵向研究模块,结果显示在IC、IF、IH这三个股指期货的波动均为右偏,而三个股票指数的波动均为左偏。在横向研究模块,结果显示IC股指期货的波动风险大于IF股指期货、IH股指期货的波动风险,而IH股指期货的波动风险大于IF股指期货的波动风险。因此,IF股指期货是三个股指期货中最为稳定的市场。在跨市场研究模块,结果显示股指期货市场的波动程度大于国债期货的波动程度,而国债期货的波动风险均大于三个股指期货的波动风险。最后,股指期货与对应股票指数之间,以及三个股指期货相互之间均具有正向的金融风险传染效应。并且,股指期货市场相互之间的金融风险传染效应大于股指期货与对应股指的金融风险传染效应。此外,三个股指期货与国债期货之间的金融风险传染效应具有较小的负向传染关系。以及,在三个股指中,根据动态相关系数构建的对冲策略均能比静态的对冲策略具有更好的对冲效果。
[Abstract]:Based on the rapid development of science and technology and economic background, the risk contagion effect of financial market shows high speed and frequent characteristics, which can response the financial assets yield sequence bias, "BAYES-DCC-GARCH model leptokurtic" features, and obtain the global optimal solution of the MCMC parameter estimation method, combined with the Shanghai and Shenzhen 300 stock index the CSI 500 stock index futures, futures, Shanghai 50 stock index futures and the three corresponding stock index futures stock index, and the 10 year treasury bond futures in the 1 minute high-frequency data, study the risk contagion effect between these markets and the dynamic conditions of these markets. The correlation coefficient and correlation coefficient, according to the dynamic construction of risk hedge strategies for empirical research. The results of the study showed that the seven financial market returns really have "fat tail" feature, and the financial market wave Dynamic clustering. In addition, a period of financial market volatility is larger, fluctuation attenuation slower. Secondly, in the longitudinal study module, the results showed that in IC, IF, IH of the three stock index futures volatility is right, while the three stock index fluctuations are left in. The research results show that the transverse module, the risk of fluctuations in IC stock index futures stock index futures volatility risk is greater than IF, IH stock index futures, volatility risk and volatility of IH stock index futures stock index futures is greater than IF. Therefore, IF stock index futures is a stable market for the three stock index futures. In the cross market research module. The results show the volatility of the volatility of stock index futures market than the Treasury futures, volatility risk and volatility risk of treasury bond futures is greater than three of the stock index futures. Finally, between stock index futures and the corresponding stock index, stock index futures and three between both The financial risk contagion effect positive. And the financial risk contagion effect of financial contagion effect of stock index futures market between stock index futures and stock index is greater than the corresponding. In addition, the financial contagion effect between the three stock index futures and bond futures has a smaller negative contagion relationship. And, in the three stock index, according to the construction the dynamic correlation coefficient of hedge strategy can have better than static hedging strategies to hedge effect.

【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F724.5;F832.51

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