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双长记忆GARCH族模型的预测能力比较研究——基于沪深股市数据的实证分析

, PP. 41-49

Keywords: VaR,长记忆,ARFIMA,FIAPARCH,HYGARCH

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Abstract:

?GARCH族模型在金融风险的度量中有着广泛的应用。在考虑股市收益率和波动率序列双长记忆性的基础上,基于上证综合指数和深圳成份指数的日收盘价序列,从证券投资风险量化的角度,引入受险值VaR和相对正确符号指标PCS作为模型预测误差衡量指标,比较分析了双长记忆GARCH族模型在不同分布假设情况下的的拟合与预测精度。结果显示:偏t分布能较好描述沪深股市的厚尾特征;在较小的VaR水平下ARFIMA(2,d1,0)-FIAPARCH(1,d2,1)-skt模型对股市波动风险具有较强的预测能力,而ARFIMA(2,d1,0)-HYGARCH(1,d2,1)-skt对股市的涨跌趋势具有较强的预测能力。

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