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利用上海期货交易所线材期货15分钟高频价格数据构造已实现波动率估计序列,并以此作为参考标准,运用6种损失函数以及Diebold-Mariano检验法检验4类不同波动率模型对线材期货价格波动的样本外预测能力,显示,中国线材期货市场,基于高频数据的GJR(1,1)模型具有最为出色的波动率预测能力,而在某些损失函数标准下,HYGARCH(1,d,1)与GARCH(1,1)模型也体现出了较好的波动率预测能力。 相似文献
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我国农产品期货市场波动率实例分析 总被引:1,自引:0,他引:1
本文以郑州商品交易所白糖期货15分钟高频价格数据为例,运用多种损失函数,以已实现波动率为模型评价衡量标准,实证检验了不同异方差模型对白糖期货价格波动的刻画能力。实证结果显示,就我国2006年1月6日推出的白糖期货而言,GJR模型具有最为出色的波动刻画精度,而在某些损失函数标准下,IGARCH模型也体现出了较好的波动刻画精度。 相似文献
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Realized Volatility是在高频数据的研究基础上发展起来的度量波动率的新方法。本文以上证综合指数的高频数据为研究对象,采用滚动式样本外一步预测的方法对5种ARCH类模型进行了模型预测能力的比较研究。主要结论有:(1)Realized Volatility作为解释变量加入GARCH模型后能够提高波动预测精度。(2)GARCH-RV的波动预测值为Realized Volatility的无偏估计量。(3)沪市存在波动非对称性与很长的持续性。 相似文献
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为探究资产价格的跳跃行为和收益波动的非对称效应对波动率预测的影响,以高频数据建模为视角,基于跳跃、好坏波动率将Realized EGARCH-MIDAS模型进行拓展,以提升模型的波动率预测能力与风险度量效果。运用拓展后的模型,以沪深300指数价格高频数据为样本进行实证分析,探究中国股票市场的波动性规律,并采用似然函数、信息准则和基于损失函数的DM与MCS等检验方法,综合比较了改进前后的模型对波动率及风险值的预测效果。实证结果显示:(1)沪深300指数收益的长期波动主要来源于连续波动而非跳跃波动,且受正连续波动影响更大,而负跳跃对波动具有明显的负向冲击;(2)文章提出的拓展模型均能更好地捕捉波动率的长记忆性,在样本内估计和样本外预测上也都有更好的表现,其中同时考虑跳跃与非对称影响的Realized EGARCH-MIDAS-RSJ拓展模型拥有最优的估计及预测效果。 相似文献
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通过基于"已实现"波动率,对上证综合指数收益波动基本统计特性进行分析.结果表明基于"已实现"波动率的ARFIMA组模型的预测能力要明显优于GARCH模型,对数"已实现"波动率的ARFIMA模型预测能力最好. 相似文献
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主要对GARCH模型在风险计量方面的理论方法进行了梳理,并选取2007年1月4日至2010年12月23日上证房地产指数日收盘价作为数据样本,运用GARCH模型VaR方法对我国股市中房地产板块的风险进行了实证分析。实证结果表明我国地产股指序列存在集聚效应,GARCH模型较传统静态法更能够较好的描述我国房地产板块的波动情况,因而测量的VaR值更能反映我国地产板块面临的风险程度。 相似文献
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通过基于“已实现”波动率,对上证综合指数收益波动基本统计特性进行分析。结果表明基于“已实现”波动率的ARFIMA组模型的预测能力要明显优于GARCH模型,对数“已实现”波动率的ARFIMA模型预测能力最好。 相似文献
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陈天宇 《中国商贸:销售与市场营销培训》2013,(7X):112-113
本文针对沪深300指数2008年6月到2013年7月共1241个样本数据,运用GARCH模型族理论,分别建立GARCH,GARCH-M及T-GARCH模型,发现其收益率波动具有显著的聚集效应及收益不对称性。并通过比较,发现T-GARCH(1,1)模型能够较好地描述沪深300指数波动的规律。 相似文献
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文章运用GARCH类模型研究了我国黄金市场的波动特征,得出如下几个结论:(1)我国黄金市场具有波动聚集的特征;(2)GARCH模型能够较好地拟合黄金价格的波动,而EGARCH(1,1)模型的拟合效果比GARCH(1,1)模型更好;(3)模型的研究结果表明黄金市场的波动具有持续性;(4)EGARCH模型中的非对称项的系数估计值为正.且为显著的,表明我国黄金市场也存在着非对称效应,正的冲击比负的冲击更容易增加黄金市场的波动。 相似文献
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《中国对外贸易(英文版)》2008,(5):50-51
The overall strategic relationship between U.K. and China is "better than ever", China- Britain relations have maintained good momentum, with increased high-level exchanges and the reinforcement of strategic mutual trust, with more room for growth in the future. 相似文献
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Guo Yan 《中国对外贸易(英文版)》2008,(5)
Domino effects of the global finance agitation As the origin of the subprime crisis,US financial institutions lost USS45 billion last year,accounted for over half of the total US,EU & Japan loss.Since January 15th,Chtigroup released its financial statement of the 4th quarter,showing a net deficit of USS9.83 billion,which marked the hisoric high of its quarterly deficit. 相似文献
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《中国对外贸易(英文版)》2008,(6):62-65
Among the Fortune 500 firms,more and more images from China emerge out.On the 2008 list,Sinosteel Corporation,a landmark group of China industries quietly squeezes into the candidate line.As the largest steel service & trade enterprise,its sales reached at RMB 111.24 billion,with a year-on-year increase of 83.03 percent,and the profit grew by 180.03 percent.On the Sinosteel 2008 Work Meeting,the president Huang Tianwen uttered,"In the coming year,we will work for US$20 billion sales,and look forward to getting a position in Fortune 500 firms for ourselves." 相似文献
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Zang Kejia 《中国对外贸易(英文版)》2008,(7):16-17
When the 103rd Canton Fair is approaching, an old friend of Canton Fair, Li Ying from Jiangsu prov-ince recollected his past five years' experiences to the grand trade meeting. Each year is special, with some unforgettable memories colored by the year. 相似文献
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Estaing, former French president, Valery Giscard d'Estaing attended Sino-French Economic Seminar held in Shanghai in early April and said that the world center has shifted from the west to the east with many European and US companies entering into Asia, and China has the ability to play an important role in the world stage. Estaing, naming himself"French Confucian", then said in Chinese that a cook-group includes 10 people in ancient Chinese soldier system and the cook is in charge of cooking for them. And people who belong to the same cook are actually "Partners". 相似文献
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《中国对外贸易(英文版)》2008,(5):12
The annual meeting of the World Economy Forum was held in Davos,a little town in Switzerland,on January 23rd to the 27th this year,with the theme"the Power fo Collaborative Innovation",over 2500 celebrates from ture political and cconomic circles of more than 80 countries and challengred logether to talk about the future of the global economy in 2008,A Forum for the problems and challenges that face whole world,some of the keywords which drew attention during the event were:the U.S.subprime mortgage crisis,soaring energy prices,the economic slowdown in the U.S.ermerging economic bodies,authority funds and the general unpredictable nature of the global economy. 相似文献
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"If you are considering to trade with companies in Japan or expanding your business to Japan we are ready to help from the very beginning."You will find this greeting at the first sight on the Chinese website of Japan External Trade Organization 《中国对外贸易(英文版)》2008,(10):16-17
If you are considering to trade with companies in Japan or expanding your .business to Japan, we are ready to help from the very beginning." You will find this greeting at the first sight on the Chinese website of Japan External Trade Organization (JETRO). JETRO has committed itself in delivering highly efficient and quality services to meet the demand of internal and external customs including Japanese companies, hence winning a good reputation in the international trade arena. In recent years, with its priority in advancing business cooperation in South and East Asia, JETRO has made great achievement in promoting trade between China and Japan. Therefore, China's Foreign Trade interviewed Mr. Yoichi Maine, Deputy Director General of JETRO BEIJING. 相似文献
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Guo Yan 《中国对外贸易(英文版)》2008,(12):62-63
Looking at the increasingly fierce competition in the world auto market. global automobile manufacturing industry, taking Europe, the U.S. and Japan as representatives, is gradually forming a new type of relationship, mutual cooperation between whole vehicle and parts manufacturers. We can clearly see that auto parts manufacturers have become independent from the whole vehicle manufacturing companies, which means that the former structure of auto industry has greatly changed, and a new relationship, 相似文献
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Guo Yan 《中国对外贸易(英文版)》2008,(1):10-10
In the middle of last December, the key purchase contracts for coal used in power generation in 2008 were signed, reflecting a demand for more than 1.085 billion tons. It is important to note that the country's five biggest power producers, China Huaneng Group, China Guodian Corporation, China Power Investment Corporation, China Huadian Corporation and China Datang Corporation, had settled on the prices on their purchase contracts, and they are expected to consume 290 million tons of coal for generating electricity, 相似文献
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Liu Xinwen 《中国对外贸易(英文版)》2008,(10):40-41
Last November the State Council of China decided to renew its holiday system by reducing the seven-day May Day holiday to three days and introducing three new one-day public holidays, namely the Qingming Festival, Dragon Boat Festival and Moon Festival. By doing so, the three golden-week holidays that were introduced in 1999, namely the Spring Festival, May Day and National Day, could be better distributed. 相似文献