Dissertation > Excellent graduate degree dissertation topics show

Volatility Modeling of High-Frequency Intraday Data Based on Independent Components Analysis

Author: TuShuLan
Tutor: CaiGuangHui
School: Zhejiang Technology and Business University
Course: Statistics
Keywords: Independent Components Analysis Long Memory DCC-GARCH ICA-GARCH ICA-ARFIMA VaR
CLC: F224
Type: Master's thesis
Year: 2013
Downloads: 0
Quote: 0
Read: Download Dissertation

Abstract


With the integration of the world economy, the connection between financial markets both at home and abroad is becoming closer. As an important component in China’s financial market, more and more attentions are paid to the stock market. In addition, the stock market is in the developing and improving, all participants should be fully aware of the risks of it and have a strong awareness of risk prevention.Volatility modeling is very important in the management of risk. The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model and Stochastic Volatility (SV) model are the most important volatility models of financial time series modeling. In the case of multivariate, GARCH model is generalized to the multivariate case. The Multivariate GARCH model plays a significant role in the asset allocation and portfolio selection. In this paper, we succinctly summary the development of the Multivariate GARCH model and then apply them to analyze the volatility of the returns. We suggest using DCC-GARCH model with dynamic correlation and ICA-GARCH model based on the Independent Components Analysis (ICA) to analyze the volatility and links between eight sliver-related stocks like Yuguang Gold&lead, Tongling Nonferrous Metals, Jiangxi copper, Yunnan Chihong Zinc&Germanium,Western Mining, Shengda Mining, Zijin Mining and Shenzhen Zhongjin Lingnan based on high-frequency intraday data of five-minute returns. The experimental results show that there exists correlations between the sliver-related stocks and the correlations are varying over time. We also find that ICA-GARCH model is more effective to model multivariate time series than DCC-GARCH model by comparing the autocorrelation of the two models’residuals and ICA-GARCH model costs less time than the DCC-GARCH model.Meanwhile, we introduce ICA to the study of the realized volatility and the conditional covariance matrix and propose an ICA-ARFIMA model to analyze the volatility and the correlations. When we use ICA-ARFIMA model to analyze the high-frequency data, firstly we employ ICA to decompose the multivariate returns into several statistically independent components and then compute the realized volatility of every component. Then we use the fractionally integrated autoregressive moving-average time series (ARFIMA) model to capture the long-memory of the series. The experimental results display that ICA-ARFIMA model is efficient to model the realized volatility and the conditional covariance matrix.In addition, we apply the ICA-ARFIMA model to manage risk and compute the value at risk (VaR). The experimental results indicate that the ICA-ARFIMA model performs well at risk management.

Related Dissertations

  1. Cadmium, Chromium and Lead Accumlation, Distribution in Aralia Elata Var. Inermia and Their Effect on Leaf Antioxidative System,S792
  2. Preparation and Biological Effects of a Bio-Organic Fertilizer Against Tobacco Black Shank Disease,S435.72
  3. Studies on Agrobacterium-midiated Genetic Transformation in Brassica Campestris Subsp. Chinensis Var. Parachinensis,S634.5
  4. Daxinganling forest areas Pinus sylvestris tree-ring δ \u003csup\u003e 13 \u003c / sup \u003e C of the climate significance,S791.253
  5. Physio-Biochemiscal Responses of Seed Germination and Seedling of Sweet Pepper under NaCl Stress,S641.3
  6. Copula-EGARCH-Kernel Density Estimation Model and Its Application,O211.3
  7. Study on Fitness of Backcross Generations between Glyphosate-Resistant Transgenic Oilseed Rape and Four Geographic Populations of Wild Brassica Juncea,S565.4
  8. Cloning and Expression of Novel β-Glucosidase Genes from Rhizopus Stolonifer Var. Reflexus,Q78
  9. Strain Screening of Hainanmycin Production and Fermentation Process Optimization,TQ927
  10. Construction Guarantee Risk Early Warning Mechanism Research,TU71
  11. Market Risk Equity Asset Allocation,F832.51
  12. A Comparative Study of Chinese stock market risk measurement methods,F832.51
  13. In the standard model based on VaR Equity Fund Risk Assessment Study,F224
  14. Price Volatility Risk Assessment and Comparison of China’s Commodity Futures,F224
  15. Preliminary Studies on Heterosis Breeding and DH1 Population of Ornamental Kale,S681.9
  16. Comparison and Empirical Analysis of Value-at-Risk Prediction Models,F832.51
  17. VaR based on Bayes method of estimation and testing sites,F832.51
  18. The Empirical Research of the Relationship of China’s Stock Market and Real Estate Markets,F293.3;F224
  19. The Empirical Analysis of the Influence of International Commodity Prices on China Inflation,F224
  20. Study of Water Resources Carrying Capacity of Pinus Sylvestris Var. Mongolica Fixing Sand Forest at Zhanggutai Town, Based on GIS,P208
  21. Empirical Analysis on the Relationship Between Financial Development and Economic Growth of Shandong Province,F127;F224

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net  Mobile