Dissertation > Excellent graduate degree dissertation topics show

Model study of the volatility of the financial markets

Author: LiuYuHe
Tutor: XuWei
School: Northwestern Polytechnical University
Course: Statistics
Keywords: Volatility TGARCH model The SW-TGARCH model Leverage effect
CLC: F224
Type: Master's thesis
Year: 2006
Downloads: 274
Quote: 3
Read: Download Dissertation

Abstract


ARCH model proposed by Engle (1982), can be used to describe the characteristics of the financial data of the conditional variance in economic time series analysis is also very useful. In addition, financial or economic time series have some common features. First, the volatility of the return series big, sometimes small, and the impact of volatility will continue for some time to disappear, that the fluctuations of the sequence was gathered and persistent. Secondly, some sequence leverage effect, i.e. information reaction asymmetry. This paper has done some work for the above problem. The first chapter briefly describes the origins of risk management, basic content, the development status and the need for the introduction of risk management techniques in the financial markets, highlights the volatility model development and status quo of the research, given the model expressions and parameter estimation The method given herein to be used for some other knowledge. The second chapter analyzes the strengths and weaknesses of the model of financial market volatility, fluctuations in variable structure model, compared with the ARCH model, Markov model of structural transformation fluctuations reduce the persistent fluctuations. And according to the typical characteristics of the literature that financial markets: the aggregation of financial volatility; leverage effect of the return series and financial volatility persistence. On this basis, the introduction of the SW-TGARCH model is a more apt description of the volatility of the financial markets. Chapter 3 introduces state transition TGARCH (SW-TGARCH) model, and based on the leverage effect of interest rates and stock markets the state transition TGARCH model correction, then take advantage of the modified model of China's inter-bank bond market repo rate empirical analysis, and the use of the three models TGARCH model parameter estimation results of the GARCH model, TGARCH model, and state transfer performance comparison results show that the the SW-TGARCH model can well describe the its volatility and the SW-TGARCH model is introduced very good solution GARCH model persistent problems and state transfer problem. By the analysis of knowledge, resulting in China's inter-bank bond market repo rate volatility state transfer of the main factors for the market and policy factors. Chapter IV of the problem of the relationship between asset returns and volatility, first discuss the empirical method and the existence of the problem. Conditional variance parameters and semiparametric two forms to study the relationship between the variance of financial market conditions and the return on assets, given estimates of the model under two different forms, and results show that the GARCH-M model with parameter-based parameter estimation phase than estimated, based semiparametric GARCH-M model parameters to better study the relationship between asset returns and volatility. Finally, Chapter 5 gives the full text of the summary of the work and to be further expanded.

Related Dissertations

  1. A Study about the Stock Index Future’s Influence on the Stock Market,F224
  2. Securities investment funds and stock market stability study,F224
  3. The volatility of asset prices and monetary policy effectiveness research,F822.0;F224
  4. Trait volatility on stock returns impact analysis,F224
  5. Raised the deposit reserve ratio of the empirical analysis of the effect on the stock market,F832.51;F224
  6. Our stock index futures market volatility on the stock market impact analysis,F224
  7. The Empirical Research of Stock Market Volatility Based on SV Model,F832.51
  8. The Stable Long-Run Capm and Nonparametric Method Estimation,O212.7
  9. Research on Inter-bank Interest Rate Risk Measurement of Commercial Bank Based on VaR Model,F822.0
  10. The Empirical Research on Volatility Timing Ability of the Open-end Equity Fund in China,F224
  11. CAPM-EGARCH model based on financial risk measurement and Volatility Spillovers,F830
  12. The Price Prediction of International Crude Oil,F764.1
  13. Stock Shorting Mechanism of Market Effect and Supervision,F832.51
  14. The Impact of Securities Investment Fund on Chinese Stock Market Volatility,F832.51
  15. The Semiparametric Fitting for the Implied Volatility Surface,F830.9
  16. CSI 300 stock index futures launch spot fluctuations,F224
  17. Volatility in Financial Stocks About Sse 180 Financial Index,F832.51
  18. A Study on the Impact of Government Science and Technology Investment on Enterprise R&D Investment,F124.3;F273.1
  19. Futures market trading volume and open relationship with the price volatility of,F724.5
  20. Research on the Relationship between Security Investment Funds and Volatility on Stock,F832.51
  21. Extended Switching Regression Models with Time-varying Probabilities for Combining Forecasts in Stock Market Volatility,F832.51

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