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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
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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.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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