基于稳定分布条件的GARCH模型研究

本文应用GARCH模型对1995～2008年的沪深A股指数收益率序列进行分析,对正态分布、学生t分布、广义误差分布以及稳定分布下的GARCH模型进行对比研究,发现基于极大似然准则和AIC信息准则下,新信息服从稳定分布的GARCH模型优于其他模型。     

The Impact of Single Stock Futures on Market Efficiency and Volatility: A Dynamic CAPM Approach

The concerns regarding regulations of futures markets and their destabilizing ability are unresolved in both developed and developing markets. Following stringent regulations of single stock futures (SSFs) for resumption episode after financial crises, this study addresses this concern and investigates the destabilizing impact of SSFs on the underlying stocks in an emerging economy using data of companies listed in the Karachi Stock Exchange between 1999 and 2008. Specifically, the study explores whether SSFs have caused a simultaneous increase in the volatility and operational efficiency of their underlying spot market counterparts. The results reported in the study show that the introduction of SSFs has no significant impact on market efficiency and volatility of SSFs underlying stocks and non-SSFs stocks. The results affirm that SSFs have, at least, no destabilizing impact on the underlying stocks.     

Short-term Dynamics in the Cyprus Stock Exchange

Abstract

This paper investigates the short-term dynamics of stock returns in an emerging stock market namely, the Cyprus Stock Exchange (CYSE). Stock returns are modelled as conditionally heteroscedastic processes with time-dependent serial correlation. The conditional variance follows an EGARCH process, while for the conditional mean three nonlinear specifications are tested, namely: (a) the LeBaron exponential autoregressive model; (b) the Sentana and Wadhwani positive feedback trading model; and finally (c) a model that nests both (a) and (b). There is an inverse relationship between volatility and autocorrelation consistent with the findings from several other stock markets, including the US. This pattern could be the manifestation of a certain form of noise trading namely positive feedback trading or, momentum trading strategies. There is little evidence that market declines are followed with higher volatility than market advances, the so-called ‘leverage effect’, that has been observed in almost all developed stock markets. In out of sample forecasts, the nonlinear specifications provide better results in terms of forecasting both first and second moments of the distribution of returns.     

基于不同分布假设GARCH族模型对上证指数波动性分析的比较研究

股票市场的波动性研究已经成为众多研究者和投资者广泛关注的焦点。以上证股票收益率为研究对象,在三种不同的分布假设下,利用GARCH族模型对上证指数波动性进行了比较研究,分析表明:上证股票收益率具有显著的条件异方差性,且基于GED分布的GARCH(1,1)模型是消除该条件异方差性的最佳模型;上证股票收益率具有正的风险溢价,且基于GED分布的GARCH(1,1)-M模型是反映风险溢价情况的最优模型;上证股票收益率存在着明显的不对称性(杠杆效应),利空消息比利好消息更容易引起大的波动,且基于标准正态分布的EGRCH(1,1)模型是揭示该不对称性的最佳模型。     

基于VaR-GARCH模型的国际原油期货风险分析

基于金融时间序列的实际分布的尾部明显更厚,而峰度则更高的特征,可以运用在不同的分布假定下的GARCH模型的VaR计算方法来对市场的风险进行分析。利用GARCH族模型以国际原油期货的日收益率数据分别在t-分布和广义误差分布(GED)条件下来度量原油期货的在险价值VaR。在验证了多个模型和二种分布组合之后,得出了GARCH(1,1)-t分布模型对原油期货能较好的拟合和反映出国际原油期货收益率的风险特征性。     

基于GED-GARCH模型的沪深基金收益率波动性研究

本文对不同分布假定的ARCH族模型进行了比较,发现基于GED的GARCH类模型较好地解释了收益率分布的尖峰性和厚尾性,并在此基础上选取我国基金市场的日收益率观测数据进行实证分析,对收益率的波动性进行研究,试图找出我国基金市场价格分布的合理解释。