基于Copula模型的股市波动不对称性研究的中期报告.docxVIP

基于Copula模型的股市波动不对称性研究的中期报告 摘要： 本文采用Copula模型对股市波动的对称性和不对称性进行了研究。首先使用ADF检验，确定了收益率序列的平稳性；接着使用GARCH模型对收益率序列进行建模，得到了每日的波动率序列；然后使用多种Copula模型拟合了收益率序列的联合分布，并对每个模型进行了模型检验和模型比较。最后，利用模拟和应用实证数据的方法，分别研究了模型中的各种Copula函数在描述股市波动的对称性和不对称性上所起的作用。 实验结果表明，使用Copula模型可以更准确地描述股市波动的对称性和不对称性。在对称性方面，Gaussian Copula模型的适配效果最佳；在不对称性方面，t-Copula模型的适配效果最佳。此外，还发现在极端市场条件下（例如股市崩盘或暴涨），股市波动的不对称性更加明显，即市场的下跌风险比上涨风险更大。因此，投资者应该注意这种不对称性风险，并制定针对性的风险管理策略。 关键词：Copula模型、股市波动、对称性、不对称性、风险管理 Abstract： This paper uses Copula models to study the symmetry and asymmetry of stock market volatility. First, the ADF test is used to determine the stationarity of the return series; then the GARCH model is used to model the return series and obtain the daily volatility series; then various Copula models are used to fit the joint distribution of the return series, and each model is tested and compared. Finally, using simulation and empirical data, we investigated the role of various Copula functions in describing the symmetry and asymmetry of stock market volatility. The experimental results show that the Copula model can more accurately describe the symmetry and asymmetry of stock market volatility. In terms of symmetry, the Gaussian Copula model has the best fit; in terms of asymmetry, the t-Copula model has the best fit. In addition, it was found that under extreme market conditions (such as stock market crashes or surges), the asymmetry of stock market volatility is more pronounced, that is, the downside risk of the market is greater than the upside risk. Therefore, investors should pay attention to this asymmetry risk and develop targeted risk management strategies. Keywords: Copula model, stock market volatility, symmetry, asymmetry, risk management