中国股市波动的CARR模型分析

ARCH/GARCH模型在波动性的预测已被学者广泛使用并在实证上得到良好的效果。本文以上海股市为研究对象,分别运用CARR模型和GARCH模型进行波动性预测,进而对两种方法的预测能力进行比较,实证结果表明CARR模型在拟合波动性方面优于GARCH模型。     

沪深300指数的ARCH效应

股价指数的收益率序列具有时变波动性、厚尾特征、波动性群集等特点,传统的计量分析无法刻画这些特点。通过对即将推出的股指期货的标的指数-沪深300指数的收益率序列进行AR-CH效应分析．采用ARCH模型及其扩展形式对沪深300指数的波动性进行实证分析,结果表明沪深300指数的收益率序列是有偏的,并具有尖峰厚尾的特点。同时也具有波动的群集性和不对称性的特点。     

ARCH族模型在上证收益率变动中的实证研究

股票价格的频繁波动是股票市场最明显的特征之一。利用ARCH模型及其扩展模型对上证综合指数的波动性进行实证研究,结果发现,我国上海股票市场收益率序列有明显的尖峰厚尾性、波动聚类性、非正态性以及存在条件异方差特性,波动的信息不对称性等特点。     

Relative price volatility under Sudden Stops: The relevance of balance sheet effects

Sudden Stops are associated with increased volatility in relative prices. We introduce a model based on information acquisition to rationalize this increased volatility. An empirical analysis of the conditional variance of the wholesale price to consumer price ratio using panel ARCH techniques confirms the relevance of Sudden Stops and potential balance sheet effects as key determinants of relative price volatility, where balance sheet effects are captured by the interaction of a proxy for potential changes in the real exchange rate (linked to the degree of external leverage of the absorption of tradable goods) and a measure of domestic liability dollarization.     

Harvest contract price volatility for cotton

Changes in agricultural and international trade policy have increased attention to issues of price volatility and risk management. Previous work in the area of price volatility has typically focused on grains, with little work dealing with cotton. The objective of this analysis was to examine the determinants of price volatility for cotton, focusing on the growing season volatility of the harvest contract. Different econometric techniques, including ARCH/GARCH, were employed to estimate the effects of a set of variables on price volatility. The potential for a nonlinear relationship between price and volatility was examined. Findings suggest a significant seasonal pattern to volatility as well as a nonlinear relationship between price and volatility. The results also suggest that cotton price volatility has not significantly changed with respect to changes in agricultural policy. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 717–733, 1999     

Complete Models with Stochastic Volatility

The paper proposes an original class of models for the continuous-time price process of a financial security with nonconstant volatility. The idea is to define instantaneous volatility in terms of exponentially weighted moments of historic log-price. The instantaneous volatility is therefore driven by the same stochastic factors as the price process, so that, unlike many other models of nonconstant volatility, it is not necessary to introduce additional sources of randomness. Thus the market is complete and there are unique, preference-independent options prices.
We find a partial differential equation for the price of a European call option. Smiles and skews are found in the resulting plots of implied volatility.     

证券交易税对市场波动性的影响:来自中国股市的证据

本文运用ARCH族模型检验了2001年股票交易印花税税率降低对沪、深股市波动性的影响,为有关证券交易税对市场波动性影响的讨论增添了一个来自新兴市场的证据。计量结果表明,该次税率变动对沪市波动性的影响在统计上是不显著的;深市的波动性在税率降低后虽然有统计上显著的增加,但是这个变化太小,没有实际意义。我们的研究结果表明,对于像中国股市这类市场结构和市场制度处于变化之中的新兴市场,如果试图通过调整证券交易税税率这类显性的交易成本来影响市场波动性,其效果是有限的。     

资产价格波动与金融稳定研究述评

资产价格波动与金融稳定的关系,一直是学术界研究的热点问题。近年来的研究认为资产价格波动与银行信贷的相互作用加强,进而日趋影响金融稳定;资产价格波动直接影响银行资本金和金融机构经营环境从而影响金融稳定;理论研究日益强调信息不对称以及“委托一代理”问题在资产价格波动影响金融稳定过程中的重要性。同时,大部份的实证研究都支持了资产价格波动对金融稳定具有重要影响的观点。一些学者就如何应对资产价格波动从而保持金融稳定的问题提出了针对性的建议。     

Super‐replication in fully incomplete markets

In this work, we introduce the notion of fully incomplete markets. We prove that for these markets, the super‐replication price coincides with the model‐free super‐replication price. Namely, the knowledge of the model does not reduce the super‐replication price. We provide two families of fully incomplete models: stochastic volatility models and rough volatility models. Moreover, we give several computational examples. Our approach is purely probabilistic.     

Intraday Volatility in Interest‐Rate and Foreign‐Exchange Markets: ARCH,Announcement, and Seasonality Effects

We explore the determinants of intraday volatility in interest‐rate and foreign‐exchange markets, focusing on the importance and interaction of three types of information in predicting intraday volatility: (a) knowledge of recent past volatilities (i.e., ARCH or Autoregressive Conditional Heteroskedasticity effects); (b) prior knowledge of when major scheduled macroeconomic announcements, such as the employment report or Producer Price Index, will be released; and (c) knowledge of seasonality patterns. We find that all three information sets have significant incremental predictive power, but macroeconomic announcements are the most important determinants of periods of very high intraday volatility (particularly in the interest‐rate markets). We show that because the three information sets are not independent, it is necessary to simultaneously consider all three to accurately measure intraday volatility patterns. For instance, we find that most of the previously documented time‐of‐day and day‐of‐the‐week volatility patterns in these markets are due to the tendency for macroeconomic announcements to occur on particular days and at particular times. Indeed, the familiar U‐shape completely disappears in the foreign‐exchange market. We also find that estimates of ARCH effects are considerably altered when we account for announcement effects and return periodicity; specifically, estimates of volatility persistence are sharply reduced. Separately, our results show that high volatility persists longer after shocks due to unscheduled announcements than after equivalent shocks due to scheduled announcements, indicating that market participants digest information much more quickly if they are prepared to receive it. However, contrary to results from equity markets, we find no evidence of a meaningful difference in volatility persistence after positive or negative price shocks. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21: 517–552, 2001     

中国线材期货价格指数波动率预测能力分析

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。     

The Tunisian stock market index volatility: Long memory vs. switching regime

This paper investigates the dilemma of long memory versus a switching regime for the Tunisian stock market index volatility. Precisely, different specifications of the Fractionally Integrated GARCH (FIGARCH) model of Baillie et al. (1996) and Switching ARCH (SWARCH) model of Hamilton and Susmel (1994) have been estimated under both Gaussian and Student error distributions.The empirical results show that the Student FIGARCH(1,d,1) specification outperforms the Markov switching ARCH model. In addition, the empirical results indicate that the long memory behavior observed in the Tunisian stock price (TUNINDEX) volatility is a true behavior and is not spuriously created by changes in regimes.     

Bounds on European Option Prices under Stochastic Volatility

In this paper we consider the range of prices consistent with no arbitrage for European options in a general stochastic volatility model. We give conditions under which the infimum and the supremum of the possible option prices are equal to the intrinsic value of the option and to the current price of the stock, respectively, and show that these conditions are satisfied in most of the stochastic volatility models from the financial literature. We also discuss properties of Black–Scholes hedging strategies in stochastic volatility models where the volatility is bounded.     

基于状态转移波动模型的金融市场动态风险测度研究

测度金融市场动态风险VaR的一个关键在于如何准确刻画金融市场收益波动率。引入马尔可夫状态转移的ARCH（Regime switching ARCH,SWARCH）模型。构建出基于状态转移波动模型的金融市场动态风险测度模型,然后运用其对中国大陆上证综指和伦敦金融时报100指数的市场风险进行测度,并运用Back-testing中的似然比率检验方法（Likelihood Ratio Test,LRT）对金融市场风险测度的准确性进行检验。实证结果表明,基于SWARCH的风险测度模型,不仅能够准确测度不同类型金融市场的动态风险,而且在测度金融市场大风险方面展现出同样具有优越的测度能力。     

Robustness of the Black and Scholes Formula

Consider an option on a stock whose volatility is unknown and stochastic. An agent assumes this volatility to be a specific function of time and the stock price, knowing that this assumption may result in a misspecification of the volatility. However, if the misspecified volatility dominates the true volatility, then the misspecified price of the option dominates its true price. Moreover, the option hedging strategy computed under the assumption of the misspecified volatility provides an almost sure one-sided hedge for the option under the true volatility. Analogous results hold if the true volatility dominates the misspecified volatility. These comparisons can fail, however, if the misspecified volatility is not assumed to be a function of time and the stock price. The positive results, which apply to both European and American options, are used to obtain a bound and hedge for Asian options.     

国际农产品价格波动风险研究

基于GED分布,在多种GARCH类模型族假设下,实证研究国际农产品价格指数对数收益率的均值和波动性。以此为基础,利用VaR模型、ES模型以及后验检验方法计算国际农产品价格波动的风险特征。实证结果表明:国际农产品市场的价格波动性风险比较大;国际农产品市场中极端事件发生的可能性大于正态分布下的可能性;2005年以来,国际农产品价格波动性风险有明显增大的趋势。中国要密切关注国际农产品价格波动情况,并提前做出预测,以避免国际农产品价格的大幅波动造成过大的影响。     

Uncertainty and the volatility forecasting power of option-implied volatility

This study investigates the impact of uncertainty on the volatility forecasting power of option-implied volatility. Option-implied volatility is a powerful predictor of future volatility, particularly during periods of high uncertainty. This is consistent with option-implied volatility being largely determined by volatility-informed traders (rather than directional traders) when uncertainty is high. New volatility forecasting models that incorporate such interaction outperform benchmark models, both in- and out-of-sample. The new models also better predict future volatility during the 2008 global financial crisis, for which benchmark models perform poorly. The results are robust to alternative choices of benchmark models, loss functions, and estimation windows.     

我国推出股指期货对股票市场波动性影响的实证研究

本文以2006年11月1日至2010年12月27日的沪深300指数收盘价为原始数据,建立GARCH及EGARCH模型,进行实证研究,探究我国推出股指期货对股票市场波动性的影响。通过对该模型的分析,得出结论:股指期货在我国的推出,一定程度上降低了我国股票现货市场的波动性,对我国股票现货市场的健康发展起到了维稳作用。     

MOMENT EXPLOSIONS AND LONG‐TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS

We consider a class of asset pricing models, where the risk‐neutral joint process of log‐price and its stochastic variance is an affine process in the sense of Duffie, Filipovic, and Schachermayer. First we obtain conditions for the price process to be conservative and a martingale. Then we present some results on the long‐term behavior of the model, including an expression for the invariant distribution of the stochastic variance process. We study moment explosions of the price process, and provide explicit expressions for the time at which a moment of given order becomes infinite. We discuss applications of these results, in particular to the asymptotics of the implied volatility smile, and conclude with some calculations for the Heston model, a model of Bates and the Barndorff‐Nielsen–Shephard model.     

A NEW LOOK AT SHORT‐TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS

We analyze the behavior of the implied volatility smile for options close to expiry in the exponential Lévy class of asset price models with jumps. We introduce a new renormalization of the strike variable with the property that the implied volatility converges to a nonconstant limiting shape, which is a function of both the diffusion component of the process and the jump activity (Blumenthal–Getoor) index of the jump component. Our limiting implied volatility formula relates the jump activity of the underlying asset price process to the short‐end of the implied volatility surface and sheds new light on the difference between finite and infinite variation jumps from the viewpoint of option prices: in the latter, the wings of the limiting smile are determined by the jump activity indices of the positive and negative jumps, whereas in the former, the wings have a constant model‐independent slope. This result gives a theoretical justification for the preference of the infinite variation Lévy models over the finite variation ones in the calibration based on short‐maturity option prices.