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上证综指的股指波动:基于模糊FEGARCH模型及不同分布假设的预测研究

, PP. 32-40

Keywords: 波动性,模糊FEGARCH模型,预测,SPA检验

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Abstract:

?本文主要对2006年至2011年上证综指收益率序列的高频波动性进行预测研究。首先,针对金融数据的非线性和不确定等特性,借助模糊逻辑系统,提出一种新的金融市场波动率的预测方法-模糊FEGARCH模型,用来更好的针对具有非线性特性的收益率数据进行预测。其次,为了判断分布型模型和不对称型模型对预测精度的影响程度,分别采用分布型(GARCH-N,GARCH-t,GARCH-HT和GARCH-SGT)和不对称型(GJR-GARCH、EGARCH和模糊FEGARCH)的波动模型进行高级能力预测法(SPA)检测。实证结果表明,不对称模型对波动率预测的影响程度比分布假设的确定更为重要,而且模糊FEGARCH模型对于具有尖峰厚尾、高偏度和杠杆效应的非线性波动数据的预测能力更佳,说明了该模型的有效性与实用性。

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