基于Pair Copula-Realized GARCH模型的股票市场.docx

基于PairCopula-RealizedGARCH模型的股票市场
论文题目：基于PairCopula-RealizedGARCH模型的股票市场
摘要：
本文基于PairCopula-RealizedGARCH模型探讨了股票市场的风险分析和预测。首先，介绍了股票市场的基本概念和现状，分析了股票市场的风险基本特征，强调股票市场风险的不确定性和时变性。然后，引入了PairCopula-RealizedGARCH模型，该模型能够完整地捕捉多变量时间序列之间的依赖性和非线性性，更加准确地分析和预测股票市场的风险。
接下来，以中国A股市场为例，利用PairCopula-RealizedGARCH模型进行实证分析。首先，使用PCA方法对A股的20个行业指数进行主成分分析，得到4个主成分因子。然后，采用PairCopula-RealizedGARCH模型，对上述四个主成分因子之间的依赖性和非线性性进行研究和分析。最后，根据模型的预测结果，对A股市场的风险进行预测和评估。
本文的研究发现：PairCopula-RealizedGARCH模型能够有效地揭示多变量时间序列之间的依赖性和非线性性，提高了股票市场风险分析和预测的准确性。同时，本文的实证结果也表明，中国A股市场的风险具有时变性和非对称性，需要更加谨慎地进行投资决策。
关键词：股票市场；风险分析；PairCopula-RealizedGARCH模型；多变量时间序列；风险预测
Abstract:
ThispaperexplorestheriskanalysisandpredictionofthestockmarketbasedonthePairCopula-RealizedGARCHmodel.Firstofall,thebasicconceptsandcurrentsituationofthestockmarketareintroduced,andthebasiccharacteristicsofthestockmarketriskareanalyzed,emphasizingtheuncertaintyandtime-varyingofthestockmarketrisk.Then,thePairCopula-RealizedGARCHmodelisintroduced,whichcanfullycapturethedependenceandnon-linearitybetweenmultivariatetimeseriesandmoreaccuratelyanalyzeandpredicttheriskofthestockmarket.
Next,takingChina'sA-sharemarketasanexample,thePairCopula-RealizedGARCHmodelisusedforempiricalanalysis.First,thePCAmethodisusedtoconductprincipalcomponentanalysison20industryindicesinA-sharemarket,andfourprincipalcomponentfactorsareobtained.Then,thePairCopula-RealizedGARCHmodelisusedtostudyandanalyzethedependenceandnon-linearitybetweentheabovefourprincipalcomponentfactors.Finally,accordingtothemodel'spredictionresults,theriskoftheA-sharemarketispredictedandevaluated.
TheresearchfoundthatthePairCopula-RealizedGARCHmodelcaneffectivelyrevealthedependenceandnon-linearitybetweenmultivariatetimeseries,andimprovetheaccuracyofstockmarketriskanalysisandprediction.Atthesametime,theempiricalresultsofthispaperalsoshowthattheriskofChina'sA-sharemarkethastime-varyingandasymmetry,whichrequiresmorecautiousinvestmentdecisions.
Keywords:stockmarket;riskanalysis;PairCopula-RealizedGARCHmodel;multi