var rcny rmyr,lags(13) varstable,graph varlmar vargranger 模型 varsoc rcny rmyr rsgd ridr rphp mgarch dcc( rcny rmyr ridr rphp rthb =L(1)rcny L(1)rmyr L(1)ridr L(1)rphp L(1)rthb ),arch(1) garch(1) nolog outreg2 using Myfile,excel replace tstat bdec(6) tdec(4...
本文选取2005.1.4～2018.6.29期间的中证100、中证200与中证500指数,分别代表大盘、中盘与小盘股的市场分层走势状况,构建了基于偏斜学生t分布的VAR-DCC-GARCH模型展开实证研究。结果发现,三支中证指数除了确实存在传统的波动冲击持久性、易呈现波动聚集特征、正负冲击的"杠杆效应"之外,其数模型残差偏斜t分布的偏斜系数...
VaR_DCC_GARCH是一种基于动态条件相关性的广义自回归条件异方差模型,用于估计金融资产组合的价值-at-risk(VaR)。该模型结合了动态条件相关性模型(DCC)和广义自回归条件异方差模型(GARCH),能够更准确地捕捉资产间的相关性变化和波动率聚集效应。通过VaR_DCC_GARCH模型,投资者可以更有效地评估金融市场风险,提高风险管理...
financial market volatility; VAR-DCC-GARCH; wavelet-based random forest; forecasting1. Introduction Among the important topics of financial economics are the modeling of volatility, the interdependence of volatility in financial markets, and forecasting. Volatility in financial markets occurs when these ...
基于DCC—MVGARCH模型的证券组合VaR测度与拓展模型
请问TVP-VAR,DCC-GARCH,QVAR这几个模型分别适用于什么研究? 关注问题写回答 登录/注册VAR模型 GARCH模型 请问TVP-VAR,DCC-GARCH,QVAR这几个模型分别适用于什么研究?这几个模型分别适用于什么情况,都能实现静态溢出和动态溢出的研究么?显示全部 ...
本文从周度时间跨度视角,构建了VAR-DCC-MVGARCH模型,采用了2005年7月至2011年3月的交易数据,在一个框架下考察了我国石油、黄金、利率、汇率和股票市场的动态相关性。结果表明,利率对汇率、石油对汇率、黄金对利率、黄金对石油存在着单向均值溢出效应,仅在股票与黄金市场间具有双向均值溢出效应;各市场波动性之间均...
Asymmetric Spillover Effect and Dynamic Correlation Between Crude Oil, RMB Exchange Rate and Chinese Gold Price: Based on VAR-Asymmetric BEKK (DCC)-GARCH (1, 1) Model 1,2 1 1 1. School of Economics, Zhejiang Gongshang University, Hangzhou} 310018;2. College of Business Administration, Capital...
货币政策和股票收益率的动态相关性研究——基于DCC—MGARCH和MS—VAR的实证分析
To measure the volatility spillover effects between gold market and stock market, a VAR-DCC-BVGARCH model is utilized to analyze the relationship of both. The bivariate GARCH model (BVGARCH), employed to simultaneously capture the conditional volatilities of both assets and the dynamic conditional ...