金融资产变结构波动的非参数GARCH建模及其应用研究

项目名称： 金融资产变结构波动的非参数GARCH建模及其应用研究

项目编号： No.70871003

项目类型： 面上项目

立项/批准年度： 2009

项目学科： 金属学与金属工艺

项目作者： 杨继平

作者单位： 北京航空航天大学

项目金额： 24万元

中文摘要： 我国金融市场处于转型过程，各种外来因素对其波动的影响各异，现有GARCH 模型族无法直接描述外生变量（如政府政策、公司财务状况等）对金融资产波动的影响。本研究旨在建立有外生变量的资产变结构波动的非参数模型，并对其理论、方法和应用进行系统研究。对于不可以用一般的变结构分析方法处理的非线性向量时间序列，研究建立对波动的条件方差和其自身滞后值及随机扰动项之间的函数关系的非参数形式的GARCH模型族，建立金融资产收益率波动的条件方差方程系数为函数形式的模型，增强模型的灵活性。通过诊断变结构点的非参数检验方法，具体刻画外来因素如何影响资产波动，指出样本期中变结构点的位置，分析变结构点出现的原因，建立变结构点前后不同的资产波动模型，以我国金融市场为背景进行应用研究。 该研究为国际前沿研究课题，其理论和方法意义在于用非参数方法来估计其系数函数，建立其渐近理论，可应用于我国的实际，研究成果将填补国际空白。

中文关键词： 金融资产；金融风险度量；变结构；非参数GARCH 模型

英文摘要： China's financial markets are in a changing process, all kinds of external factors have impacts on their volatility. The present GARCH model family is unable to describe the direct influence imposed on the volatility of financial asset by exogenous variables (such as government policies, corporate financial situations, etc.). The research focuses on theory, method and applications of the nonparametric modelling of volatility of financial asset with structural changes when existing exogenous variables. For nonlinear vector time series which cannot be dealt with the ordinary analytical method for structural changes, we will study nonparametric GARCH modelling of the function relationship among the conditional variance of the volatility, lags of itself and random disturbance. We will establish the model using function coefficient for conditional variance of the volatility of financial returns and make the model flexible. Using nonparametric testing diagnosis of structural points, we will study how exogenous variables influence the volatility of financial asset. We will also locate the structural points during the sample periods, analyze the reason why structural points occur and establish the different models for volatility of financial asset with structural changes. Furthermore, we will perform the application study of the model to China's financial markets. This topic is an international frontier research direction. The meaning of the theory and method of the research lies in that the coefficient function will be estimated and asymptotic theory will be established using nonparametric method. The research results may be applied to China's financial markets and expected to fill in the international gap in this field.

英文关键词： financial asset;financial risk measure;structural change;nonparametric GARCH model