變結(jié)構(gòu)GARCH模型的協(xié)同持續(xù)性研究.pdf

1、東南大學(xué)碩士學(xué)位論文變結(jié)構(gòu)GARCH模型的協(xié)同持續(xù)性研究姓名：任成科申請學(xué)位級別：碩士專業(yè)：管理科學(xué)與工程；金融工程指導(dǎo)教師：江孝感20120504東南人學(xué)碩Ij學(xué)位論文AbstractInfinancialmarket，asuddenchangeinvolatilityseemstoarisefromtheevolutionofemergingstockmarkets，exchangeratepolicychangesandfinan

2、cialcrisis，thesefactorswillleadtointerruptioninfinancialtimeseries，resultingintheeconomicsystemchangeWhenthisconversionoccurs，thedatastructurewouldchange，andmanyresearchesonfinancialtimeseriesoverlonghorizonwhichignoreth

3、isphenomenonofthevolatilityinthepast，haveshownhighvolatilitypersistenceTherefore，wearereasonabletosuspectthatneglectingstructuralchangeswouldincreasethevolatilitypersistenceofvectorfinancialtimeseriesBasedontheanalysisof

4、CO——persistencetheoriesoffinancialtimeseries，thewriterprovesneglectingthestructure—changeinvectorfinancialtimeserieswillleadtotheunitrootfeatureofmultiplefinancialtimeserieswhenmodelingbyGARCHandhighpersistenceintheportf

5、olioofmultiplefinancialtimeseriesThenthewriterbuildsastructure—changeGARCHmodelformultiplefinancialtimeseries，giyestheconcept，propertyandexistencetheoremofvolatilitypersistenceandCO—persistenceofthestructure—changeGARCHI

6、nthefollowingthewriterstudieshowthestructuralchangeimpacttheCO——persistencevectorandfindsoutthatthestructuralchangewouldnotinfluencetheCO—persistencepropertyinmutiplefinancialtimeseriesbutaffectCO—persistencevectorAtlast

7、，thewriterdiscussesthevariableCO—persistencerelationbetweentheShanghaiandShenzhenstockmarketsbyusingICSSalgorithmtesearchthestructurechangesandapplyingthestructure——changeGARCHmodel，andanalyzesthedynamicsbalancebetweenth