兰州大学机构库 >数学与统计学院
基于上证50ETF已实现波动率的研究
Alternative TitleBased on the Research of the ShangHai 50ETF Realized Volatility
姜艳艳
Thesis Advisor刘卫玮
2018-04-10
Degree Grantor兰州大学
Place of Conferral兰州
Degree Name硕士
Keyword已实现波动率 高频数据 AHR-ARV-EGARCH模型
Abstract

金融资产波动率方面的相关研究,是金融市场中风险分析和资产定价等内容的重要基础,因此,波动率的分析是金融市场研究的一个重要部分,主要用定量的方法对其进行研究,使其得到更广泛的应用.科学技术水平的迅速发展,促使学者们对波动率的研究也逐渐深入.目前我们处于一个信息化时代,高频数据的出现为波动率的研究开拓了一个新的发展方向,为此,以高频数据为基础的已实现波动率成了近些年来的热点问题.

以异质市场假说理论为基础的异质自回归已实现波动率(HAR-RV)模型,相对于传统模型有着很大的优势,该模型主要描述的是交易者持有资产的不同时长对现时点已实现波动率的影响.本文在此基础上引入了隔夜收益率这一影响因素,利用调整后的已实现波动率对原有模型进行了适当改进,得到了HAR-ARV模型,由于金融资产价格的杠杆作用和信息的不对称性,又引入了EGARCH模型,使其与HAR-ARV模型相结合构建了HAR-ARV-EGARCH模型.

2015年2月在上海证券交易所推出的上证50ETF期权使我国的金融衍生品发展迈出了巨大一步,目前其相关研究较少,因此本文以其标的物上证50ETF作为研究分析主体,使用的样本数据为2015年8月5日至2017年11月30日的上证50ETF5分钟收盘价,利用HAR-ARV模型和HAR-ARV-EGARCH模型对选取的样本进行实证分析,通过损失函数指标对两个模型在样本内预测和样本外预测的结果做了对比分析.最终表明,HAR-ARV-EGARCH模型能够很好的消除HAR-ARV模型所具有的ARCH效应,对调整已实现波动率的衡量也较为准确.

Other Abstract

The research on the volatility of financial assets, which is a very important basis for risk analysis and asset pricing in the financial markets, and therefore, the analysis of the volatility rate is an important part of the study of the financial market, and it is mainly studied by quantitative methods to make it more widely used. The rapid development of science and technology level, prompting scholars research on volatility also gradually in-depth. At present, we are in an information age, and the occurrence of high-frequency data has opened a new direction for the study of volatility. Therefore, the realized volatility based on high-frequency data has become a hot issue in recent years.

Based on heterogeneous market hypothesis theory of heterogeneous autoregressive (HAR - RV) realized volatility model has great advantage compared with traditional model, the model is mainly describe the traders of the assets held different length the current point of realized volatility. In this paper, on the basis of introducing the overnight yields the influence factors, using the adjusted realized volatility appropriate improvements were made on the original model, got the HAR - ARV model, the leverage of price due to the financial assets and the asymmetry of information, and introduced the EGARCH model, made with the combination of HAR - ARV model constructed HAR - ARV - EGARCH model.

In February 2015, the Shanghai stock exchange 50ETF option launched by the Shanghai stock exchange has taken a huge step in the development of financial derivatives in China. At present, there are relatively few relevant researches. Therefore, this paper selects the Shanghai 50ETF as the research object, the sample interval for August 5, 2015 to November 30, 2017 Shanghai 50ETF 5 minutes closing price, and the HAR-ARV model and HAR-ARV-EGARCH model are used for empirical analysis, and the results of the two models are evaluated by the loss function indicators in the sample and out of the sample prediction. The analysis results show that the HAR-ARV-EGARCH model can effectively eliminate the ARCH effect of the HAR-ARV model, and it is more accurate to adjust the realized volatility.

URL查看原文
Language中文
Document Type学位论文
Identifierhttps://ir.lzu.edu.cn/handle/262010/225129
Collection数学与统计学院
Recommended Citation
GB/T 7714
姜艳艳. 基于上证50ETF已实现波动率的研究[D]. 兰州. 兰州大学,2018.
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