HAC模型在东盟股市中的相依性分析研究  

Study on The Dependency Risk of HAC Model in ASEAN Stock Market

在线阅读下载全文

作  者:白双燕 吴永 何霞 贺洪莲 BAI Shuangyan;WU Yong;HE Xia;HE Honglian(School of Science,Chongqing University of Technology,Chongqing 400054,China)

机构地区:[1]重庆理工大学理学院,重庆400054

出  处:《重庆理工大学学报(自然科学)》2020年第4期243-250,共8页Journal of Chongqing University of Technology:Natural Science

基  金:国家社科基金项目(14BJY200)。

摘  要:以近10年东盟6个代表国的核心日股票收益指数为研究对象,选取2009-01-21-2019-02-11的交易数据,分别建立ARMA-GARCH模型和分层阿基米德Copula(HAC)模型来刻画东盟各国股市的动态特征和相依性风险。研究表明:ARMA(1,1)-GARCH(1,1)模型对东盟代表国的股指收益率有着较好的拟合效果,偏t分布下的模型能更好地捕捉收益率的尖峰厚尾性,在HAC的3个生成元Clayton、Gumbel、Frank函数中,Gumbel函数的拟合度最好。结果证明:马来西亚、印尼和新加坡的股指相依性最大,越南跟其他东盟国的股指相依性最小。该结果对国内外企业在东盟如何投资发展具有一定的指导意义。The ARMA-GARCH model and the Hierarchical Archimedes Copula( HAC) model were established to characterize the dynamic characteristics and dependent risks of the stock markets in ASEAN countries by studying the core daily stock return indexes of six ASEAN countries during the nearly ten years from January 21,2009 to February 11,2019. The studies have shown that the ARMA( 1,1)-GARCH( 1,1) model has a good fitting effect on the stock index return rate of ASEAN representative countries. The model under the partial t distribution can better capture the peak and thick tail of return rate,and the Gumbel function in the Clayton,Gumbel and Frank functions of HAC has the best fitting degree. It finds out that Malaysia,Indonesia and Singapore have the largest stock index dependence,while Vietnam has the least dependence on other ASEAN countries. The results have a guiding significance for domestic and foreign enterprises to invest and develop in ASEAN.

关 键 词:ARMA-GARCH模型 分层阿基米德Copula 相依风险 

分 类 号:F832.49[经济管理—金融学]

 

参考文献:

正在载入数据...

 

二级参考文献:

正在载入数据...

 

耦合文献:

正在载入数据...

 

引证文献:

正在载入数据...

 

二级引证文献:

正在载入数据...

 

同被引文献:

正在载入数据...

 

相关期刊文献:

正在载入数据...

相关的主题
相关的作者对象
相关的机构对象