中美主要金融市场相关结构及风险传导路径研究——基于Copula理论与方法

金融危机背景下的股市表现出更加复杂的动荡性,本文在传统GARCH模型的基础上引入了风险值对收益率的影响因素,运用GARCH-M模型来刻画股票收益率序列边缘分布,通过构建GARCH-M-t边缘分布过滤模型获取收益率残差序列,最后采用Copula函数对边缘分布拟合后的残差序列建模构建出Copula-GARCH-M-t相关结构模型。经过参数估计及多种Copula函数的拟合优度检验,最终成功刻画出中美金融市场五大证券交易中心股票收益率之间的相关结构模型。通过秩相关系数、尾部相关系数等相关性度量工具对中美两国金融市场的相关性进行分析,最后通过对不同股票市场之间的尾部相关性分析确定两国金融市场之间风险传导路径。     

基于GARCH模型和VAR模型的中国股票市场实证分析——以深圳成分指数为例

本文以深圳成分指数为例,对深成指日收益率数据进行ARCH效应检验,GARCH建模,分别得出残差服从正态分布,t分布,GED分布的GARCH预测模型,并对三种模型的优劣进行比较,针对股市对利好,利坏消息的反映程度,在GARCH模型的基础上建立具有杠杆效应的TGARCH模型,探究市场对好消息和坏消息的敏感程度     

基于GARCH-VAR模型的股指期货市场风险度量研究

本文以沪深300股指期货的日收盘价格数据为实证载体,基于GARCH族模型中残差的正态分布、t分布和广义误差分布（GED）三种不同情形,分别采用GARCH、TGARCH和PARCH模型计算不同置信水平下沪深300股指期货收益波动序列的VaR值,结果表明：分布假定和置信水平对VaR的计算结果有显著影响,GARCH模型的选择对估计结果影响较小。但综合比较来看,基于广义误差分布的GARCH模型的估计效果最优。     

上证行业指数间的相关性研究及应用

投资组合中各种资产收益之间的相关性对整个投资组合的风险有着非常重要的影响。运用一种简化的GARCH模型,分析了上证行业指数间的相关性。行业指数的GARCH(1,1)模型估计结果显示,各个行业指数对数收益率的方差都明显受到各自方差的滞后值和残差滞后值的影响。通过对各行业指数残差项的分析,给出了行业指数间动态相关系数的解析表达式;并以上证能源与其余行业指数的相关性为例,给出风险投资组合的投资建议。     

存货质押融资业务的流动性风险研究

本文基于存货质押融资业务中出现的质物变现情况,以流动性指标为基础进行流动性风险研究。对流动性水平序列进行一系列检验,采用GARCH模型对流动性序列的波动建模,并对BDSS模型进行调整得到新的L-VaR模型,将GARCH结果代入到L-VaR模型中得到流动性风险值。     

存货质押融资业务的流动性风险研究

本文基于存货质押融资业务中出现的质物变现情况,以流动性指标为基础进行流动性风险研究。对流动性水平序列进行一系列检验,采用GARCH模型对流动性序列的波动建模,并对BDSS模型进行调整得到新的L-VaR模型,将GARCH结果代入到L-VaR模型中得到流动性风险值。     

基于GARCH族模型对H股指数期货的VaR与CVaR值的实证研究

本文以港交所H股指数期货的收盘价格数据作为实证载体,基于GARCH族模型中残差的正态分布、T分布和广义误差分布（GED）三种不同情形,分别采用GARCH、EGARCH及PARCH模型,计算H股指数期货收益波动序列的VaR和CVaR值,结果表明基于广义误差分布的PARCH模型（GED-PARCH）无论在计算VaR值还是CVaR值方面都是最优的。     

沪深300股指期货风险管理的实证分析——基于CVaR-GARCH模型族

通过对沪深300股指期货收益率进行实证分析,采用可以更好刻画收益率序列特征的t分布和GED分布,基于GARCH模型族对收益率序列进行波动性建模。根据GARCH模型族的估计结果计算出CVaR值,并对CVaR的准确性进行了检验。由结果可知,GED分布下的TGARCH(1,1)模型是测算CVaR值的最佳模型。     

基于GARCH族模型对H股指数期货的VaR与CVaR值的实证研究

以港交所H股指数期货的收盘价格数据作为实证载体，基于GARCH族模型中残差的正态分布、T分布和广义误差分布（GED）三种不同情形，分别采用GARCH、EGARCH及PARCH模型，计算H股指数期货收益波动序列的VaR和CVaR值，结果表明基于广义误差分布的PARCH模型（GED—PARCH）无论在计算VaR值还是CVaR值方面都是最优的。     

沪深300指数收益率的GARCH效应实证研究

本文基于两种非正态分布的GARCH类模型对我国沪深300指数进行实证研究,同时考虑到收益率条件方差的非对称性,采用GARCH模型中典型的非对称模型中的TGARCH模型对普通的GARCH模型进行改进。研究结果表明,沪深300指数波动有显著的GARCH效应,并且运用GARCH模型进行建模之后,消除了残差序列的异方差,同时运用TGARCH模型的改进也证明了波动存在一定的杠杆效应:即坏消息的出现会带来更大的冲击和波动。     

股票价格对投资的影响：资产负债表效应分析

资产负债表效应是股票价格影响投资的重要渠道。股票价格的波动除了会通过影响托宾Q值而影响上市企业的融资成本,进而影响上市企业的投资外,还会通过影响企业的净值进而影响企业从银行获得贷款的能力而影响企业的投资。而投资是总需求的重要组成部分,也是股票价格影响物价水平的重要方面,因此,研究股票价格对投资的影响,即对资产负债表效应的研究,对于研究股票价格对物价稳定的影响具有重要的理论意义和实践价值。     

Tempered stable and tempered infinitely divisible GARCH models

In this paper, we introduce a new GARCH model with an infinitely divisible distributed innovation. This model, which we refer to as the rapidly decreasing tempered stable (RDTS) GARCH model, takes into account empirical facts that have been observed for stock and index returns, such as volatility clustering, non-zero skewness, and excess kurtosis for the residual distribution. We review the classical tempered stable (CTS) GARCH model, which has similar statistical properties. By considering a proper density transformation between infinitely divisible random variables, we can find the risk-neutral price process, thereby allowing application to option-pricing. We propose algorithms to generate scenarios based on GARCH models with CTS and RDTS innovations. To investigate the performance of these GARCH models, we report parameter estimates for the Dow Jones Industrial Average index and stocks included in this index. To demonstrate the advantages of the proposed model, we calculate option prices based on the index.     

沪深300股指期货与现货市场间风险传染效应及影响因素

本文选取2005—2019年我国沪深300股指期货和沪深300股票指数日收盘价数据,结合股票推出时间、股价波动性,设置样本组、对照组,运用GARCH模型、DCC-GARCH模型、Granger因果关系检验及多元线性回归模型分析了沪深300股指期货与现货间的风险传染效应及影响因素,并结合研究结论提出对策,以期促进资本市场健康发展。结果表明:沪深300股指期货市场与现货市场间存在双向的风险传染效应,且经DCC-GARCH模型分析表明风险传染效应在动荡期尤为明显;影响这种风险传染效应的因素有很多,主要表现为微观因素中的股票市场流动性和股票市场不确定性与极端事件两个方面。     

Bayesian Risk Management for Equity-Linked Insurance

This paper describes how to apply Markov Chain Monte Carlo (MCMC) techniques to a regime switching model of the stock price process to generate a sample from the joint posterior distribution of the parameters of the model. The MCMC output can be used to generate a sample from the predictive distribution of losses from equity linked contracts, assuming first an actuarial approach to risk management and secondly a financial economics approach. The predictive distribution is used to show the effect of parameter uncertainty on risk management calculations. We also explore model uncertainty by assuming a GARCH model in place of the regime switching model. The results indicate that the financial economics approach to risk management is substantially more robust to parameter uncertainty and model uncertainty than the actuarial approach.     

宏观经济变量对股票价格的影响研究

股票价格不仅仅受其内在价值的影响,还和宏观经济因素有密切的关系.运用向量自回归方法,就宏观经济对股票价格的影响进行实证分析.研究结果表明,股票价格指数的短期波动受通货膨胀率、利率、储蓄的短期变化的影响;但是中国股票市场的走势与实体经济发展也存在背离,工业增加值与货币供给量的变化对股票价格指数的影响较小.     

汇率与股价的溢出效应及长期联动性——基于汇改后中国市场的实证研究

随着中国资本市场改革的深化,市场间的互动关系逐步回归市场化关联。本文运用协整检验、Granger因果检验、多元GARCH模型研究了汇率与股价的互动关系。研究结果表明:在长期联动性方面,汇率与股价存在稳定的长期均衡关系;在价格溢出方面,只存在汇率到股价的单向引导关系;波动溢出方面,汇市的波动冲击会影响股市,而股市的波动对汇市无明显影响。进一步的研究中,本文估算了汇率波动对股市开盘价及收盘价的影响大小。     

An analysis of option pricing under systematic consumption risk using GARCH

An issue in the pricing of contingent claims is whether to account for consumption risk. This is relevant for contingent claims on stock indices, such as the FTSE 100 share price index, as investor’s desire for smooth consumption is often used to explain risk premiums on stock market portfolios, but is not used to explain risk premiums on contingent claims themselves. This paper addresses this fundamental question by allowing for consumption in an economy to be correlated with returns. Daily data on the FTSE 100 share price index are used to compare three option pricing models: the Black–Scholes option pricing model, a GARCH (1, 1) model priced under a risk-neutral framework, and a GARCH (1, 1) model priced under systematic consumption risk. The findings are that accounting for systematic consumption risk only provides improved accuracy for in-the-money call options. When the correlation between consumption and returns increases, the model that accounts for consumption risk will produce lower call option prices than observed prices for in-the-money call options. These results combined imply that the potential consumption-related premium in the market for contingent claims is constant in the case of FTSE 100 index options.     

上市公司并购的股价效应——来自2007年沪深A股市场的经验证据

采用有双变量GARCH模型进行修正过的事件研究方法,对2007年中国沪、深两市51起代表性并购事件进行实证研究.结果表明,在短期内,并购能给目标公司带来显著的价值增值,但在长期内并不明显;并购公司不同并购策略能给目标公司带来不同的影响;经营业务专业化与区域位置集中化类型的并购使目标公司价值增大的概率较大.     

Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normally distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalised assumption of normally distributed financial returns. Thus it is crucial to model distribution tails properly so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey in 2000 and combine GARCH-type models with the extreme value theory to estimate the tails of three financial index returns – S&P 500, FTSE 100 and NIKKEI 225 – representing three important financial areas in the world. Our results indicate that EVT-based conditional quantile estimates are more accurate than those from conventional GARCH models assuming normal or Student's t distribution innovations when doing not only in-sample but also out-of-sample estimation. Moreover, these results are robust to alternative GARCH model specifications. The findings of this paper should be useful to investors in general, since their goal is to be able to forecast unforeseen price movements and take advantage of them by positioning themselves in the market according to these predictions.