Dissertation > Excellent graduate degree dissertation topics show

Building Threshold GARCH Models of Time Series Based on Genetic Algorithms and Its Study and Application

Author: LiuXueFei
Tutor: YuDong
School: Wuhan University of Science and Technology
Course: Probability Theory and Mathematical Statistics
Keywords: the SETAR models genetic algorithms the Threshold GARCH models the AIC Criteria
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 31
Quote: 0
Read: Download Dissertation


In the analysis of financial time series, the GARCH Model is suitable for depicting the conditional heteroscedasticity of financial time series and the threshold model (threshold autoregressive or threshold ARMA model) is able to quite accurately describe the non-linear rules of series. The GATCH model in this paper is built by the combination of the advantages of these two. Since a series of coefficients are needed by the structural parameter of threshold GARCH model, the effective way is to use the genetic algorithms to search the structural parameter space. The choice of genetic algorithms is a simulation of the law of survival of the fittest in the evolution of species. Because it’s bringing about quite ideal effects in processing large number of discrete and effective avoiding falling into local optimal solution, it has a much boarder searching scope, stronger adaptability, higher efficiency and better results and can overcome some shortcomings of the traditional H. Tong method, D. D. C. method and Local searching methods.By the comparison of the results of empirical research of the Shanghai Composite Index through a selected total of 1945 launch dates from January 2nd, 2003 to January 10th, 2011, this paper has discovered that the threshold GARCH model fitting and prediction accuracy is of a slight advantage in the processing of data and therefore is quite suitable for depicting non-linear laws. In addition, as the existence of random makes the constructed model different, rich and varied, it is easy for the decision-maker to select the appropriate model to perform time series analysis and financial explanation.

Related Dissertations

  1. Development of the on-line Training and Examination System of Army,TP311.52
  2. Designs and Applications of Fuzzy Synthetic Evaluation Models Based on Parallel Algorithms,TP18
  3. The Research and Application of Modified Algorithms About Fuzzy Predictive Functional Control,TP273
  4. Research on Routing Algorithmin Sensor Networks Based on Cluster with Mobile Sink,TP212.9
  5. The Research and Implement on Camera Calibration Technology Based on Trifocal Tensor,TP391.41
  6. Design of High-efficiency Thermophotovoltaic System,TM914.4
  7. Finite Element Analysis of Magnetic Levitation Planar Motor,TM359.9
  8. Excite polarization method tunnel engineering geological exploration Imaging Method research,U452.11
  9. Numerical Simulation of the Face End-milling Process and Optimization of Milling Parameters,TG54
  10. Study on Optimization and Matching of Powertrain of Truck,U469.2
  11. Study on Back Analysis Method with Genetic Algorithm of the Deep Foundation Pit’s Design Parameters and Its Excavation Dynamic Prediction,TU473.2
  12. Study on Multi-Floor Facility Layout Problem Based on M/G/1 Lift Handling System,TU857
  13. Structure Optimization of the Coal Enterprise Personnel,F426.21
  14. The Research of Optimize Numerical Blending Based on Artificial Neural Networks,TS41
  15. The Research and Design of the Intelligent Electronic Belt Scales,TH715.195
  16. Application and Performance of WFGD System of Pannan Power Plant,X701.3
  17. Application of Wireless Sensor Nets in Environment Monitor Svstem,TN929.5;TP212.9
  18. Study of Distribution Routing Problem Based on Multiple Objective Genetic Algorithm,TB114.1
  19. GA-based medical products joint multi- warehouse inventory optimization model,F426.4;F224
  20. The Optimal Portfolio Decision Model with Mean-VaR Risk Control,F830.9
  21. The Detection of Multiple Damages in the Structures Based on Genetic Algorithms and Topology Optimization,O346.5

CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
© 2012 www.DissertationTopic.Net  Mobile