论文标题:金融市场波动率模型及实证研究
The Empirical and Model of Financial Market"s Volatility
论文作者
论文导师 田新民,论文学位 硕士,论文专业 数量经济学
论文单位 首都经济贸易大学,点击次数 130,论文页数 70页File Size2690k
2006-03-10论文网 http://www.lw23.com/lunwen_61570512/
volatility;Black-Scholes formula;heteroskedasticity;volatility clustering;GARCH models
波动率在金融衍生产品定价、投资组合风险管理、对冲投资策略中具有重要作用,在现代金融理论中,广泛地以波动率来代表风险,并可用收益的方差进行测度。传统的计量经济学模型往往假定样本的方差恒定不变,但随着金融理论的深入发展,这一假设已逐渐呈现出其不合理的方面。大量的有关金融数据的实证研究表明用来表示不确定性和风险的方差是随时间而变化的。ARCH类模型已经被国外研究者广泛地运用到股票的波动性研究之中。国内学者也运用ARCH类模型对上证综合指数和深圳成分指数进行相关研究,目的是为了检验市场有效性和整个股市的波动特征。 国内金融衍生品市场尽管才刚刚起步,但是基于上证180指数和深证100指数的指数基金已经出现,以前者为标的资产的有万家180指数基金,以后者为标的的有深证50ETF。因此,对这两个指数序列的波动率进行研究,具有比较重要的的实际意义。 本文在介绍BS公式的基础上,引入波动率的概念,并对波动率在期权定价、风险管理和对冲交易中的应用作了阐述。之后详细讨论了ARCH模型及其扩展形式,并对随机波动率模型做了简单介绍。 在利用ARCH类模型对上证180指数(2002年7月1日起,截止到2006年1月12日)和深证100指数(2003年1月2日起,截止到2006年1月12日)的日收益率序列进行了分析,发现两个收益率序列都存在明显的ARCH效应。通过对比各个不同的ARCH模型发现,EGARCH(1,1)-M能够较好地模拟上证180指数和深证100指数的波动特征。
Volatility has been playing an important role in pricing derivatives,portfolio risk management and option hedging strategy. In modern financial theory, volatility is widely used to represent risk and is always measured as the variance of return. Variance is supposed to be constant in the traditional econometric model.But with the development of new research, the hypothesis is proved to be improper. Many empirical researches in financial data showed that variance is changeable with time varying. ARCH model had been applied in the research of volatility of stock market by foreigners. Also, domestic scholars establish ARCH model in analysis of the volatility of Shanghai composite index and Shenzhen component index to test the efficiency of Chinese stock market and the volatility"s character.Although only a little financial derivatives appeared in domestic capital market. The index fund has developed for a period of time. Such as Wanjia 180 index fund which underly Shanghai 180 index and ShenZheng 50 ETF (exchage traded fund)). So,to study the volatility of Shanghai 180 index and ShenZheng 100 index is practical.Basis on introducing the Black-Scholes option pricing formula, the concept of volatility is defined. The application of volatility in option pricing,risk management and hedging is also descripted. Then ARCH model is well discussed and the stochastic volatility model is introduced.The range of Shanghai 180 index is between 2002.07.01 and 2006.01.12. The range of ShenZheng 50 index is between 2003.01.02 and 2006.01.12. After analysis of the return series of the two index, ARCH effect does exist. Comparison among all the GARCH model, the EGARCH(1,1) model is proved to be the best one to simulate the character of the two return series.
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