用GARCH模型预测股票指数波动率选读.docVIP

用GARCH模型预测股票指数波动率 目录 Abstract 2 1.引言 3 2.数据 6 3.方法 7 3.1．模型的条件平均 7 3.2. 模型的条件方差 8 3.3 预测方法 9 3.4 业绩预测评价 9 4.实证结果和讨论 12 5.结论 16 References 18  Abstract This paper is designed to make a comparison between the daily conditional variance through seven GRACH models. Through this comparison, to test whether advanced GARCH models are outperforming the standard GARCH models in predicting the variance of stock index. The database of this paper is the statistics of 21 stock indices around the world from 1 January to 30 November 2013. By forecasting one –step-ahead conditional variance within different models, then compare the results within multiple statistical tests. Throughout the tests, it is found that the standard GARCH model outperforms the more advanced GARCH models, and recommends the best one-step-ahead method to forecast of the daily conditional variance. The results are to strengthen the performance evaluation criteria choices; differentiate the market condition and the data-snooping bias. This study impact the data-snooping problem by using an extensive cross-sectional data establish and the advanced predictive ability test. Furthermore, it includes a 13 years’ period sample set, which is relatively long for the unpredictability forecasting studies. It is part of the earliest attempts to inspect the impact of the market condition on the forecasting performance of GARCH models. This study allows for a great choice of parameterization in the GARCH models, and it uses a broad range of performance evaluation criteria, including statistical loss function and the Mince-Zarnowitz regressions. Thus, the results are more robust and diffusely applicable as compared to the earliest studies. KEY WORDS: GARCH models; volatility, conditional variance, forecast, stock indices. 1.引言 波动性预测可以运用到投资组合选择，期权定价，风险管理和以波动性为基础的交易策略。GARCH模型族被广泛的运用在模拟预测金融资产的波动性。另一个普遍运用的模式为简单的时间序列模型，例如指数加权移动平均（EWMA）模型和复杂随机波动性模型(Poon and Granger,2003)。对不同金融市场波动性的预测，Ederington在2005年发现GARCH模型通常的表现优异于EWMA模型。