基于时间序列的股票资金流强弱指数结构突变研究

发布时间：2018-04-10 18:33

本文选题：股票资金流强弱指数 + 时间序列分析　；参考：《太原科技大学》2017年硕士论文

【摘要】：波动性是股票市场的显著特点,也是金融理论的核心内容.结构突变是波动理论的重要部分.本文用由股价、成交量及流通量等数据计算而得的综合指标——股票资金流强弱指数作为研究对象,研究中国股市的波动特性.本文对股票资金流强弱指数做了三方面研究.首先,利用统计分析方法研究5日、10日、20日上证A股和深证A股资金流强弱指数的分布特征及平稳性等统计特征;然后,通过修正ICSS算法检测上述不同周期不同股指资金流强弱指数的方差结构突变点,对得到的突变点进行实证分析,由此建立了突变点股票资金流强弱指数判别法;最后,对资金流强弱指数序列建立GARCH模型,并结合得到的突变点建立突变GARCH模型,对两种模型进行比较分析,得出突变GARCH模型波动持续现象减弱,说明波动的结构突变效应已被虚拟变量所捕获,进一步,对5日、10日、20日股票资金流强弱指数突变GARCH模型进行分析讨论,得出拟合效果较好的20日的股票资金流强弱指数突变GARCH模型.文章通过时间序列分析方法和修正ICSS算法研究股票资金流强弱指数的方差结构突变点,建立了突变点股票资金流强弱指数判别法,得到拟合较好的突变GARCH模型.以上研究不仅可以更深入的了解股市的波动特性,而且可以为股市波动预测提供依据,因而具有重要的现实意义.
[Abstract]:Volatility is a remarkable feature of stock market and the core of financial theory.Structural mutation is an important part of wave theory.In this paper, the volatility characteristics of Chinese stock market are studied by using the index of stock capital flow, which is calculated from the data of stock price, trading volume and circulation, and so on.This article has done three aspects research to the stock capital flow strength index.Through the modified ICSS algorithm to detect the variance structure mutation point of the capital flow index of the different stock index in different periods, the paper makes an empirical analysis of the mutation point, and then establishes the discriminant method of the stock capital flow strength and weakness index of the mutation point.The GARCH model is established for the capital flow intensity index sequence, and the catastrophe GARCH model is established based on the catastrophe point. The two models are compared and analyzed. It is concluded that the volatility of the mutant GARCH model continues to weaken.It is shown that the structural abrupt effect of volatility has been captured by fictitious variables. Furthermore, the paper analyzes and discusses the GARCH model of stock capital flow index mutation on the 5th, 10th and 20th day.The GARCH model of strong or weak index mutation of stock capital flow on the 20th day with good fitting effect is obtained.Based on the time series analysis method and modified ICSS algorithm, this paper studies the mutation point of variance structure of the strong and weak index of stock capital flow, establishes the discriminant method of strong and weak index of stock capital flow, and obtains a better fitting catastrophe GARCH model.The above research can not only understand the volatility characteristics of the stock market more deeply, but also provide the basis for the stock market volatility prediction, so it has important practical significance.
【学位授予单位】：太原科技大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;O211.61

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