基于常数和门限AR-TGARCH模型的CAViaR研究

发布时间：2018-01-05 04:30

  本文关键词：基于常数和门限AR-TGARCH模型的CAViaR研究　出处：《管理工程学报》2017年02期 　论文类型：期刊论文

  更多相关文章： 条件自回归分位数 门限函数 AR-TGARCH模型

【摘要】：本文对AR-TGARCH模型进行了改进,提出门限I-AR-TGARCH模型、门限II-AR-TGARCH模型以及常数-AR-TGARCH模型,常数-门限I-AR-TGARCH模型和常数-门限II-AR-TGARCH模型,并且对中国四个股票指数2006年到2014年的数据进行实证分析,研究结果表明门限II-AR-TGARCH模型,常数-门限I-AR-TARCH模型和常数-门限II-AR-TARCH模型均比AR-TGARCH模型要优越,且常数-门限II-AR-TGARCH模型是最好的,常数-门限系列模型均优于其相对应的门限系列模型,四个指数均受到滞后风险的影响,且中小板指数和深圳成指所受到的滞后风险较小,上证指数同深圳成指具有传导双向关联性,上证指数和深圳成指会对中小板指数产生影响,上证指数对台湾加权指数具有传导性,台湾加权指数对上证指数却没有因果传导关联性。
[Abstract]:In this paper, the AR-TGARCH model is improved and the threshold I-AR-TGARCH model is proposed. Threshold II-AR-TGARCH model and constant AR-TGARCH model. Constant-threshold I-AR-TGARCH model and constant threshold II-AR-TGARCH model. The empirical analysis of the data of four Chinese stock indices from 2006 to 2014 shows that the threshold II-AR-TGARCH model. The constant threshold I-AR-TARCH model and the constant threshold II-AR-TARCH model are superior to the AR-TGARCH model. And the constant-threshold II-AR-TGARCH model is the best, the constant-threshold series model is superior to its corresponding threshold series model, and the four indices are affected by lag risk. And the small and medium board index and Shenzhen Cheng index suffered by the lag risk is small, the Shanghai stock market index and Shenzhen Cheng index have the conduction two-way correlation, the Shanghai stock market index and the Shenzhen Cheng index will have the influence to the small and medium-sized board index. Shanghai stock index is conductive to Taiwan weighted index, and Taiwan weighted index has no causality correlation to Shanghai stock index.
【作者单位】： 华中科技大学经济学院;
【基金】：国家自然科学基金资助项目(71171090)
【分类号】：F224;F832.51
【正文快照】： 0引言每一次金融危机的爆发都对全球经济产生了巨大的影响,从美国金融大亨索罗斯狙击英镑危机到1998年的东南亚金融危机,特别是东南亚这次金融危机就在中国附近,且影响到了中国的香港和台湾地区,2008年的美国次贷危机更是对我国出口外贸经济产生了巨大的冲击,导致了我国4万亿，

本文编号：1381602