基于变点检测的证 券市场收益率波动特征研究-管理科学与工程专业论文.docxVIP

基于变点检测的证券市场收益率波动特征研究摘 基于变点检测的证券市场收益率波动特征研究 摘 要 对证券市场收益率波动特征进行系统深入的理论分析与实证研究是金融学的 一个重要的研究领域。但中国证券市场作为一个新兴的市场，由于市场机制还不 够完善，受国家政策、经济环境、投资者预期等因素的影响，呈现出较大的波动， 导致收益率波动规律的突变。本文从变点的角度，对其收益率的波动特征进行分 析。 本文首先对变点以及证券市场收益率波动性的相关研究进行回顾，总结变点 方法在证券市场收益率波动性研究中的应用，并对变点检测的研究方法、证券市 场收益率的波动特征进行了理论探讨。在此基础上对证券市场收益率的基本统计 特征进行相关检验；然后利用修正ICSS算法对收益率序列进行变点检测，并寻找 变点附近对应的重大事件。最后依据检测到的变点划分波动时段，通过构造虚拟 变量的方法将结构突变因素引入GARCH族模型中，研究变点的存在对证券市场 收益率波动特征的影响。 研究结果表明，上证综合指数和深圳成份指数收益率时间序列中分别存在30 个变点，中国证券市场作为新兴市场，异常波动比较剧烈和频繁。变点对应的事 件大多为政策事件，中国证券市场呈现“政策市”特征。收益率波动存在伪持续 性和非对称效应，加入虚拟变量后的TARCH模型对于反映证券市场收益率时间序 列的波动特征效果更优。 关键词：变点；证券市场收益率；波动特征；修正ICSS算法；GARCH族模 型 II 硕士学位论文Abstract 硕士学位论文 Abstract It is an important research field in finance to do systemic and in—depth theoretical analysis and empirical research of the volatility characters of securities market retum． However,as an emerging market，the Chinese securities market shows great fluctuations and engenders sudden changes due to the imperfection of market mechanism，the infection of the national policies，the economic environment and the investors’ anticipation．This paper analyzes the volatility characters of the Chinese securities market return from the view of change point． This paper firstly reviews the relevant literature of change point and securities market return volatility．It summarizes the application of the change point methods in the field of the volatility of securities market return．It also does some theoretical investigation on the methods to detect change point and the volatility characters of securities market retum．On this basis，this paper does some relevant tests of the basic statistical characters of securities market return．Then it uses modified ICSS algorithm to detect change points．And it looks f．0r the events near by me change points．Finally,it divides time period of volatility based on the detected change points．By constructing dummy variables．this paper puts the structure change factors into the GARCH family models to study the effect on t