本文選題：蒙特卡羅方法 + GARCH族��； 參考：《山東大學(xué)》2012年碩士論文

【摘要】：隨著股指期貨和融資融券業(yè)務(wù)的開展,我國(guó)證券市場(chǎng)口趨發(fā)展和完善,股票市場(chǎng)作為整個(gè)國(guó)民經(jīng)濟(jì)的重要一環(huán),其地位和作用也口益突出。而此時(shí),我國(guó)金融行業(yè)還是處于一個(gè)轉(zhuǎn)軌的階段,貨幣市場(chǎng)和資本市場(chǎng)的波動(dòng)都異常明顯。在此特殊時(shí)刻,我國(guó)金融業(yè)的風(fēng)險(xiǎn)管理能力亟需加強(qiáng),為了提升我國(guó)在金融市場(chǎng)中的競(jìng)爭(zhēng)力,增強(qiáng)抵抗風(fēng)險(xiǎn)的能力,就必須掌握度量風(fēng)險(xiǎn)、預(yù)測(cè)風(fēng)險(xiǎn)的能力,進(jìn)而對(duì)金融市場(chǎng)進(jìn)行監(jiān)控和管理。 本文將借助個(gè)人在國(guó)內(nèi)金融機(jī)構(gòu)較豐富的實(shí)習(xí)經(jīng)歷,針對(duì)我國(guó)金融市場(chǎng)的現(xiàn)狀,將傳統(tǒng)VaR計(jì)算方法的計(jì)算步驟做具有現(xiàn)實(shí)性意義的闡述。這也是本文一大創(chuàng)新地方所在。 VaR方法在度量金融市場(chǎng)風(fēng)險(xiǎn)中已得到廣泛的應(yīng)用,而傳統(tǒng)的VaR方法往往假設(shè)市場(chǎng)收益率服從正態(tài)分布。而這個(gè)假設(shè)在國(guó)外金融市場(chǎng)上已經(jīng)驗(yàn)證為不符合實(shí)際。本文就我國(guó)2005年6月9日至2011年12月29日的HS300指數(shù)進(jìn)行對(duì)數(shù)收益率分析,發(fā)現(xiàn)這個(gè)時(shí)間序列存在明顯的尖峰厚尾性、異方差性等特性,于是考慮到用GARCH模型來模擬我國(guó)金融市場(chǎng)數(shù)據(jù),作者分別用GARCH、EGARCH、TARCH、EGARCH-M、TARCH-M等GARCH族來模擬此金融時(shí)間序列,結(jié)果證實(shí),就我國(guó)金融市場(chǎng)來說用GARCH(1,1)模型就能相對(duì)很好的進(jìn)行模擬建模。然后利用蒙特卡羅方法進(jìn)行金融序列的預(yù)測(cè)模擬,從而求出相應(yīng)的VaR。并對(duì)此進(jìn)行Kupiec回測(cè)檢驗(yàn),與之前用歷史模擬法和正態(tài)模型法所作出的結(jié)果相比較,發(fā)現(xiàn)本文所用的MC-GARCH-VaR方法在功效上有了明顯的提高,并且具有很強(qiáng)的穩(wěn)定性。
[Abstract]:With the development of stock index futures and margin trading, the stock market is developing and improving. As an important part of the whole national economy, the stock market has a prominent position and function. At this time, China's financial industry is still in a transitional stage, the fluctuation of money market and capital market are very obvious. At this special moment, the risk management ability of our financial industry needs to be strengthened urgently. In order to enhance the competitiveness of our country in the financial market and strengthen the ability to resist the risk, we must master the ability to measure and predict the risk. Then the financial market monitoring and management. In this paper, with the help of individual practice experience in domestic financial institutions, and in view of the present situation of financial market in China, the calculation steps of traditional VaR calculation method are expounded with realistic significance. This is also a major innovation in this paper. VaR method has been widely used in the measurement of financial market risk, while the traditional VaR method often assumes the market yield from normal distribution. This assumption has been proven to be unrealistic in foreign financial markets. In this paper, the logarithmic rate of return of HS300 index from June 9, 2005 to December 29, 2011 is analyzed. It is found that this time series has obvious characteristics such as peak, thick tail, heteroscedasticity, etc. Therefore, considering the use of GARCH model to simulate the financial market data in China, the author uses GARCH family such as EGARCHM, EGARCH-MU TARCH-M to simulate the financial time series. The results show that the GARCH1) model can be used to simulate the financial market in China. Then Monte Carlo method is used to predict and simulate the financial series, and the corresponding VaR is obtained. Compared with the results obtained by the historical simulation method and the normal model method, it is found that the efficiency of the MC-GARCH-VaR method used in this paper is obviously improved and the stability is very strong.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.5;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前8條

1 陳澤忠,楊啟智,胡金泉;中國(guó)股票市場(chǎng)的波動(dòng)性研究——EGARCH-M模型的應(yīng)用[J];決策借鑒;2000年05期

2 惠曉峰,柳鴻生,胡偉,何丹青;基于時(shí)間序列GARCH模型的人民幣匯率預(yù)測(cè)[J];金融研究;2003年05期

3 丁華;股價(jià)指數(shù)波動(dòng)中的ARCH現(xiàn)象[J];數(shù)量經(jīng)濟(jì)技術(shù)經(jīng)濟(jì)研究;1999年09期

4 雍炯敏;數(shù)學(xué)金融學(xué)中的若干問題[J];數(shù)學(xué)的實(shí)踐與認(rèn)識(shí);1999年02期

5 桂文林;;上證股指極值模型估計(jì)和VaR計(jì)算[J];數(shù)學(xué)的實(shí)踐與認(rèn)識(shí);2008年19期

6 劉國(guó)旗;非線性GARCH模型在中國(guó)股市波動(dòng)預(yù)測(cè)中的應(yīng)用研究[J];統(tǒng)計(jì)研究;2000年01期

7 葉青;基于GARCH和半?yún)?shù)法的VaR模型及其在中國(guó)股市風(fēng)險(xiǎn)分析中的應(yīng)用[J];統(tǒng)計(jì)研究;2000年12期

8 詹原瑞;市場(chǎng)風(fēng)險(xiǎn)的量度:VaR的計(jì)算與應(yīng)用[J];系統(tǒng)工程理論與實(shí)踐;1999年12期

相關(guān)碩士學(xué)位論文 前1條

1 周美英;基于厚尾分布的金融波動(dòng)模型實(shí)證研究[D];山東科技大學(xué);2007年

，

本文編號(hào)：1923712