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安徽财经大学中级计量经济学课件第二章第二节 ARCH和GARCH模型。
通过引入自回归项，改进了以往国内研究所使用的GARCH-GED模型，建立了AR-GARCH-GED模型，使用1990年12月19日 ~ 2015年7月15日期间将近25年的上证指数日数据研究其周内效应，得出了上证指数较之前研究更为显著的周内效应。为了进一步考察显著的周内效应是否仅仅是一个数据挖掘的纯机会主义行为，对该模型进行滑动窗口回归发现，周内效应显著的比例仅在13% ~ 25%之间。基于该研究...
上证50ETF期权的问世开启了中国股票期权的时代，中国股票期权市场发展潜力巨大，未来的几年将会迅速发展壮大，投资者可以通过购买股票期权进行风险规避或投机获利。为提高股票期权定价的精确性，可以从无风险利率的计算方法、运用GARCH模型进行股票收益率的预测以及引入股票分红三个方面对Black-Scholes股票期权定价模型进行修正，并将GARCH模型预测的股票价格波动率代入Black-Scholes股...
在非线性视域下Bai-Perron 多重结构突变检验的基础上，可采用GARCH 族模型对中国沪深股市的波动性和“杠杆效应”问题进行重新研究①。研究认为，第一，沪深股市在样本期内分别发生了2次和1次结构突变，沪市突变时点为2005年2月1日和2007年10月16日，深市突变时点为2007 年10月31日；第二，无论沪市还是深市，就其自身而言，波动性和“杠杆效应”在结构突变前后均表现出巨大的差异性，但...
Comparison results for Garch processes
Comparison results Garch processes Statistical Finance
2012/4/28
We consider the problem of stochastic comparison of general Garch-like processes, for different parameters and different distributions of the innovations. We identify several stochastic orders that ar...
Realized Wavelet Jump-GARCH model: Can wavelet decomposition of volatility improve its forecasting?
wavelet decomposition jumps volatility forecasting Realized GARCH
2012/4/28
In this paper, we propose a forecasting model for volatility based on its decomposition to several investment horizons and jumps. As a forecasting tool, we utilize Realized GARCH framework of Hansen e...
Estimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Flexible Bivariate GARCH Approaches
conditional variance Hedging performance hedge ratios
2011/4/2
Bollerslev’s (1990) constant conditional correlation (CCC) and Engle’s (2002) dynamic conditional correlation (DCC) bivariate generalized autoregressive conditional heteroskedasticity (BGARCH) models ...
Bayesian estimation of GARCH model with an adaptive proposal density
Bayesian estimation GARCH model adaptive proposal density
2011/1/4
A Bayesian estimation of a GARCH model is performed for US Dollar/Japanese Yen exchange rate by the Metropolis-Hastings algorithm with a proposal density given by the adaptive construction scheme. In ...
基于VaR—GARCH模型的我国证券市场
VaR—GARCH模型 证券市场
2010/5/6
我国的证券市场素有“政策市”之称，政策对证券市场及投资者行为均有较大的影响。作为一个典型的“政策市”，市场中每一次政策的出台都会对股票价格走势产生一定的影响，以此来达到国家调控证券市场的目的。证券市场的稳定运行有利于资源的合理配置和社会经济运行成本的降低，有利于投资者形成稳定的市场预期，有利于投机者转化为投资者。然而我国的证券市场在政策的作用下经常出现偏离宏观经济状况的大幅度异常波动，市场充满了不...
整合GARCH和VaR的电力市场价格风险预警模型
广义自回归条件异方差 风险价值 风险预警 容量充足度 必须运行率
2009/11/17
对现有市场运行状况的评估警戒以及对未来一段时期市场发展的预警是相辅相成、不可分割的。价格是最直接的市场信号，市场中上网电价的波动具有“聚集”效应和异方差特性，该文引入金融领域的分析手段，利用广义自回归条件异方差(generalized autoregressive conditional heterosce- dasticity，GARCH)和风险价值(Value-at-Risk，VaR)...
Market, Interest Rate and Exchange Rate Risk Effects on Financial Stock Returns: A GARCH-M Approach
Exchange rate interest rate multivariate GARCH volatility
2010/9/7
In this paper we examine the sensitivity of financial sector stock returns to market, interest rate, and exchange rate risk in three financial sectors (Banking, Financial Services and Insurance) in 16...
Detecting for Smooth Structural Changes in GARCH Models
GARCH Local smoothing Parameter constancy QMLE Smooth structural change
2011/4/2
Detecting and modelling structural changes in GARCH processes have attracted increasing attention in time series econometrics. In this paper, we propose a new approach to testing structural changes in...
逐渐放松的资本管制，高效的信息互联网传播，与电子交易导致了国际期货市场的一体化。大量的研究证明，国际市场的收益与波动通常会影响本国市场的收益与波动水平。中国是锌产量、消费量的第一大国，中国锌产业对世界的影响在不断加大。2007年3月26日上交所推出锌期货合约，并希望其推出的锌期货合约具有国际定价力。由于锌价格较之铜低一半，锌期货吸引了中小投资者的参与，研究伦敦锌与上海锌收益，波动的相互影响有利于投...
Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme
Markov Chain Monte Carlo Bayesian inference
2010/11/2
We perform Markov chain Monte Carlo simulations for a Bayesian inference of the GJR-GARCH model which is one of asymmetric GARCH models. The adaptive construction scheme is used for the
construction ...
Bayesian inference with an adaptive proposal density for GARCH models
Bayesian inference adaptive proposal GARCH models
2010/11/2
We perform the Bayesian inference of a GARCH model by the Metropolis-Hastings algorithm with an adaptive proposal density. The adaptive proposal density is assumed to be the Student’s t-distribution a...