中国股市已实现波动率估计

发布时间：2018-03-29 04:37

本文选题：已实现波动率　切入点：小波分析　出处：《暨南大学》2014年硕士论文

【摘要】：股票市场，众所周知是国家宏观经济的晴雨表。股票市场波动会给整个经济状况及社会稳定带来非常重大而深远的影响。因此从股票市场诞生到现在，股票市场的波动一直是国内外金融研究领域的核心组成部分，是广大投资者和金融监管部门重点关注的指标。波动率在统计学上是用来描述标的资产投资回报率变化程度的，它被用来衡量资产的风险性。表现到具体的金融市场，，指的是金融产品或者证券组合价格走势的不确定性，同样也用来度量股票市场的风险。精确的预测股市波动率，将会对金融衍生产品的风险管理、定价、套期保值进而合理地构建投资组合，以及更进一步地健全我国证券市场的监管机制等均具有非常重要的意义。本文应用HAR-RV-CJ的三个模型对波动率进行预测。HAR-RV-CJ模型预测需要将波动率分为连续路径和离散路径，对跳跃行为进行检测。因此本文应用在分析信号方面被誉为数学显微镜的小波变换来检验股票收益率的跳跃行为，估计出其发生的跳跃位置，跳跃幅度，跳跃次数及跳跃方差。然后利用TSRV方法将分离出跳跃的样本数据建立模型，去除噪声后得到连续性波动。从而将波动率分为了连续样本路径和离散样本路径两部分，最后根据得到的数据对波动率建模。最后，在理论和实证结合分析的基础上，对本论文写作内容进行进一步的归纳和总结。并建议鉴于我国股市的实际情况和自有特色，政府需要进一步完善信息披露机制、加快金融创新和加强风险规避机制。
[Abstract]:The stock market, as we all know, is a barometer of the country's macro-economy. Fluctuations in the stock market will have a very significant and far-reaching impact on the overall economic situation and social stability. Therefore, from the birth of the stock market to the present, The volatility of the stock market is the core component of the financial research field at home and abroad, and is the focus of the investors and the financial regulatory authorities. Volatility is used to describe the degree of change in the return on investment of the underlying assets statistically. It is used to measure the risk of an asset. It is expressed in a specific financial market, referring to the uncertainty of the price trend of a financial product or portfolio, and it is also used to measure the risk of the stock market. It will be of great significance to the risk management, pricing, hedging and rational investment portfolio construction of financial derivatives, as well as the further improvement of the regulatory mechanism of the securities market in China. In this paper, three models of HAR-RV-CJ are used to predict volatility. The prediction of volatility by HAR-RV-CJ model needs to be divided into continuous path and discrete path. Therefore, the wavelet transform, which is praised as the mathematical microscope in analyzing signal, is used to test the jump behavior of stock yield, and to estimate the jump position and jump amplitude. By using TSRV method, the jumping data are modeled, and the continuous fluctuation is obtained after noise removal. The volatility is divided into two parts: the continuous sample path and the discrete sample path, and the volatility is divided into two parts: the continuous sample path and the discrete sample path. Finally, the volatility is modeled according to the obtained data. Finally, on the basis of theoretical and empirical analysis, the author makes a further summary of the content of this paper, and suggests that in view of the actual situation and its own characteristics of China's stock market, the government needs to further improve the mechanism of information disclosure. We will speed up financial innovation and strengthen the risk aversion mechanism.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

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