基于CARR模型的金融市场波动性和相关性分析

发布时间：2018-04-15 13:35

  本文选题：条件自回归极差模型 + 上证综合指数　； 参考：《天津大学》2014年硕士论文

【摘要】：现代信息技术、金融理论和金融工程技术的不断发展使得国际金融市场的流通效率大大提高,金融市场中的交易品种和交易速度增长迅速,大幅加剧了金融市场的波动性。对于金融市场波动性的研究越来越成为近些年来的研究热点。条件自回归条件极差模型(Conditional Auto-Regressive Range,CARR)由Chou(2005)提出,将极差与GARCH(Generalized AutoRegressive Conditional Heteroskedasticity)模型的思想结合起来。CARR模型能够有效刻画极差的动态结构。并且通过实证分析发现,在对波动性进行预测方面,基于极差的CARR模型比传统GARCH模型效果更好的结论。本文即是基于CARR模型对我国上海股票市场波动性进行拟合分析,并引入Copula函数的思想对中美两国股市间的波动相关性进行了研究。论文的主要研究工作和创新点如下:1、通过实证分析选择数据拟合情况最好的CARR模型,然后利用所选的CARR模型和GARCH模型对上证综合股价指数的日数据进行实证研究;2、构建非线性的CARR模型,即将门限模型与CARR模型结合起来。比较门限CARR模型与传统CARR模型对样本数据的拟合效果;3、建立Copula-CARR模型,对上海股票市场与美国股票市场之间的相关程度和相关模式进行分析。4、选择2008年全球金融危机爆发事件作为时间分界点,对样本数据进行分段建模,比较在不同阶段,上海股票市场与美国股票市场之间的相关关系有什么样的变化。
[Abstract]:With the development of modern information technology, financial theory and financial engineering technology, the circulation efficiency of international financial market has been greatly improved.The research on the volatility of financial markets has become a hot topic in recent years.The conditional Auto-Regressive range model (CARR) was proposed by Choufen 2005. Combining the idea of GARCH(Generalized AutoRegressive Conditional heterodyne model, Carr model can effectively describe the dynamic structure of range difference.Through empirical analysis, it is found that the CARR model based on range is more effective than the traditional GARCH model in predicting volatility.This paper is based on the CARR model to analyze the volatility of Shanghai stock market in China, and introduces the idea of Copula function to study the volatility correlation between Chinese and American stock markets.The main research work and innovation of this paper are as follows: 1. Through empirical analysis, we choose the best fitting CARR model.Then we use the selected CARR model and GARCH model to make an empirical study on the daily data of Shanghai stock price index, and construct a nonlinear CARR model, which combines the threshold model with the CARR model.The fitting effect of threshold CARR model and traditional CARR model on sample data is compared. The Copula-CARR model is established.This paper analyzes the correlation between Shanghai stock market and American stock market, selects the 2008 global financial crisis as the time boundary point, and models the sample data in different stages.What is the relationship between Shanghai stock market and American stock market?
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51;F837.12
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本文编号：1754339