| 基于多维动态模型的中国股指相关性预测研究 |
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| 引用本文： | 秦洪元,郑振龙. 基于多维动态模型的中国股指相关性预测研究[J]. 商业研究, 2008, 0(5): 28-32 |
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| 作者姓名： | 秦洪元 郑振龙 |
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| 作者单位： | 厦门大学金融系,福建,厦门,361005 |
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| 基金项目： | 教育部人文社会科学重点研究基地项目 |
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| 摘 要： | 运用时间序列的ADCC(Asymmetric Dynamic Conditional Correlation)多维GARCH模型和CCC(Constant Conditional Correlation)多维GARCH模型对中国主要股指之间的相关性进行预测,并对预测结果进行评价和比较,结果表明ADCC多维GARCH模型拟合和预测中国股指相关性较好,这为投资组合管理和风险管理提供了理论支持。
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| 关 键 词： | 预测 ADCC多维GARCH CCC多维GARCH 评价 投资组合 |
| 文章编号： | 1001-148X(2008)05-0028-04 |
| 修稿时间： | 2007-07-05 |
The Correlationship Research On Chinese Stock Indexes Based on Multivariate Dynamic Model |
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| QIN Hong-yuan,ZHENG Zhen-long. The Correlationship Research On Chinese Stock Indexes Based on Multivariate Dynamic Model[J]. Commercial Research, 2008, 0(5): 28-32 |
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| Authors: | QIN Hong-yuan ZHENG Zhen-long |
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| Abstract: | This paper establishes the model of the asymmetric DCC multivariate GARCH model to forecast the correlationsship between main stock indexes in China during the period of 1992 to 2006.It forecasts them with CCC multivariate GARCH model.These forecasting results are compared with MAD and MSE,indicating that ADCC multivariate GARCH model is the best among them.This paper offers the theoretic support to portfolio and risk management. |
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| Keywords: | forecast ADCC multivariate GARCH CCC multivariate GARCH evaluation portfolio investment |
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