發(fā)布時間：2018-05-11 07:46

  本文選題：余額寶 + ARIMA-GARCH族模型　； 參考：《青島大學(xué)》2015年碩士論文

【摘要】：眾所周知,基于互聯(lián)網(wǎng)支撐的第三方支付平臺的“余額寶”深受社會各界關(guān)注,對傳統(tǒng)商業(yè)銀行有較大沖擊。作為金融市場的一個方面,其收益率具有一定的波動性。文章就余額寶收益率的波動性及預(yù)測進行了探討。以余額寶2013年6月3日到2015年4月10日期間的七日年化收益率為研究對象,取ARIMA模型建立均值方程,并利用GARCH)1,1(模型、GJR-GARCH)1,1(模型、EGARCH)1,1(模型和APARCH)1,1(模型建立方差方程來進行數(shù)據(jù)分析。結(jié)果表示,余額寶序列是非平穩(wěn)的,具有自相關(guān)性,并且其一階差分序列存在尖峰厚尾現(xiàn)象、波動集聚性以及條件異方差性。繼而,分別對基于波動性特征建立的ARIMA-GARCH族混合模型參數(shù)和預(yù)測評價指標(biāo)進行比較,發(fā)現(xiàn)ARIMA-GJR-GARCH混合模型擬合效果更好。最后,通過余額寶七日年化收益率序列與萬份收益序列的協(xié)整、格蘭杰檢驗、及脈沖響應(yīng)圖發(fā)現(xiàn),兩個序列之間存在協(xié)整聯(lián)系,且互為因果關(guān)系,七日年化收益率對萬份收益始終處于明顯的正向沖擊狀態(tài)。
[Abstract]:As we all know, "Yu'e Bao", which is based on the third party payment platform supported by the Internet, is deeply concerned by all walks of life and has a great impact on the traditional commercial banks. As one aspect of financial market, its yield has certain volatility. This paper discusses the volatility and forecast of Yu'e Bao's yield. Taking the seven-day annual rate of return of Yu'e Bao from June 3, 2013 to April 10, 2015 as the research object, taking the ARIMA model to establish the mean equation, and using the model GJR-GARCH1 (model GJR-GARCH1) to analyze the data. The results show that the Yu'e Bao sequence is non-stationary and autocorrelation, and its first-order differential sequence has the phenomena of peak and thick tail, fluctuation agglomeration and conditional heteroscedasticity. Then, the parameters of ARIMA-GARCH family mixed model based on volatility characteristics and the prediction evaluation index are compared, and it is found that the ARIMA-GJR-GARCH hybrid model has better fitting effect. Finally, through the co-integration, Granger test, and pulse response diagram of Yu'e Bao's seven-day annualized yield series and 10,000 profit series, it is found that there is a cointegration relationship between the two sequences, and they are causality with each other. Seven-day annualized rate of return on 10,000 returns has always been in an obvious positive impact state.
【學(xué)位授予單位】：青島大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2015
【分類號】：F224;F832.2

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本文編號：1873050