导　　师： 尹居良

学科专业： 020209

授予学位： 硕士

作　　者： ;

机构地区： 暨南大学

摘　　要： 金融市场相关性对于研究信息传导机制、风险度量甚至金融投资等方面都具有重要的意义。 GARCH类模型具有明确的经济涵义，并且能很好地描述金融时间序列的条件异方差性。Copula函数不限制边缘分布的选择，具有很好的适用性。因此，本文用GARCH类模型描述边缘分布，用Copula函数描述联合分布。 本文总结提出了四步判断准则以选择最佳的GARCH类模型，利用2拟合优度检验选择最佳的Copula函数。金融市场是不断变化的，因此本文还着重研究了动态Copula。动态Copula分为时变Copula和变结构Copula两类。在时变Copula研究中，本文提出了补充估计值的固定窗口法和半固定窗口法以估计时变参数序列，总结了时变参数的演化方程的形式，并研究了最佳窗口长度的选择问题。在变结构Copula研究中，本文给出了基于B-G算法构建变结构Copula模型的方法。最后，本文通过度量VaR比较了常相关Copula模型和动态Copula模型在刻画金融风险方面的能力，分析了窗口长度对模型刻画金融风险能力的影响。 The dependence between financial markets plays an important role in studying informationconducting mechanism, risk measure and financial investment. GARCH family models can reveal significant economic implications and perform well indescribing the conditional heteroskedasticity of financial time series. Copulas loosen the formof marginal distributions and have a good applicability. Therefore, this paper uses GARCHfamily models to describe the marginal distributions, and uses Copulas to build up their jointdistribution. This paper presents a four-step judging criteria to select the best GARCH family model,and uses the chi-square goodness of fit test to select the best Copula. Financial market is achanging market, so this paper also carries out studies on dynamic Copulas. Dynamic Copulashave two types: time-varying Copulas and Copulas with variable structures. For the researchof time-varying Copulas, this paper proposes a fixed window method with added estimates anda semi-fixed window method to estimate the time-varying parameters, and summarizes theforms of evolution equations of the time-varying parameters, and also researches the selectionof the best window length. For the research of Copulas with variable structures, this papergives a method for building a Copula model with variable structures based on the B-Galgorithm. Last, this paper compares the power in explaining financial risk between constantCopulas and dynamic Copulas by measuring VaR, and analyzes the influence the windowlength has on the power in explaining financial risk.

关 键 词： 类 相关性 时变 变结构 算法

领　　域： [经济管理] [经济管理]