本文選題：條件自回歸極差模型 + 上證綜合指數　； 參考：《天津大學》2014年碩士論文

【摘要】：現代信息技術、金融理論和金融工程技術的不斷發展使得國際金融市場的流通效率大大提高,金融市場中的交易品種和交易速度增長迅速,大幅加劇了金融市場的波動性。對于金融市場波動性的研究越來越成為近些年來的研究熱點。條件自回歸條件極差模型(Conditional Auto-Regressive Range,CARR)由Chou(2005)提出,將極差與GARCH(Generalized AutoRegressive Conditional Heteroskedasticity)模型的思想結合起來。CARR模型能夠有效刻畫極差的動態結構。并且通過實證分析發現,在對波動性進行預測方面,基于極差的CARR模型比傳統GARCH模型效果更好的結論。本文即是基于CARR模型對我國上海股票市場波動性進行擬合分析,并引入Copula函數的思想對中美兩國股市間的波動相關性進行了研究。論文的主要研究工作和創新點如下:1、通過實證分析選擇數據擬合情況最好的CARR模型,然后利用所選的CARR模型和GARCH模型對上證綜合股價指數的日數據進行實證研究;2、構建非線性的CARR模型,即將門限模型與CARR模型結合起來。比較門限CARR模型與傳統CARR模型對樣本數據的擬合效果;3、建立Copula-CARR模型,對上海股票市場與美國股票市場之間的相關程度和相關模式進行分析。4、選擇2008年全球金融危機爆發事件作為時間分界點,對樣本數據進行分段建模,比較在不同階段,上海股票市場與美國股票市場之間的相關關系有什么樣的變化。
[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?
【學位授予單位】：天津大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F224;F832.51;F837.12
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本文編號：1754339