Journal of Empirical Finance· VOLUME 33·August 2015

金融危机时期股票波动性建模：一种时变系数的方法

作者：Menelaos Karanasos (Economics and Finance, Brunel University, UK), Alexandros G. Paraskevopoulos (Department of Mathematics, University of Patras, Greece), Faek Menla Ali (Economics and Finance, Brunel University, UK), Michail Karoglou (Aston Business School, Birmingham, UK), Stavroula Yfanti. (Economics and Finance, Brunel University, UK)

摘要：本文研究了一些重要金融时间序列的最常见随机性质在最近的金融危机中是如何受到影响的。作者着重研究了与过去20年间波动性动态发生的重大经济事件相关的变化，包括波动性的持续性以及波动性溢出结构。使用几个重要指数的日度数据，作者利用双变量GARCH模型得到了在富时指数和德国法兰克福指数以及日经指数和恒生指数之间存在时变相关性和时变冲击以及波动性溢出，并且这些关系在最近的金融危机期间会变得更加显著的结论。对于提供了可以结合多方面实证模型平台的时变模型的理论思考也是作者的研究内容之一，作者给出了一个时变非对称GARCH模型设置的一般解释，这也是一个长期以来的研究课题；得到的一般解释可以让作者通过首先推导出多步之前的预测指标、再次推导出前两个时变非条件矩、最后推导出协方差结构来对这些模型进行分类。

关键词：金融危机、时变GARCH模型、结构性变化、波动性溢出

Modelling stock volatilities during financial crises: A time varying coefficient approach

Menelaos Karanasos (Economics and Finance, Brunel University, UK), Alexandros G. Paraskevopoulos ( Department of Mathematics, University of Patras, Greece), Faek Menla Ali (Economics and Finance, Brunel University, UK), Michail Karoglou. (Aston Business School, Birmingham, UK), Stavroula Yfanti. (Economics and Finance, Brunel University, UK)

ABSTRACT

We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the volatility dynamics, including the underlying volatility persistence and volatility spillover structure. Using daily data from several key stock market indices, the results of our bivariate GARCH models show the existence of time varying correlations as well as time varying shock and volatility spillovers between the returns of FTSE and DAX, and those of NIKKEI and Hang Seng, which became more prominent during the recent financial crisis. Our theoretical considerations on the time varying model which provides the platform upon which we integrate our multifaceted empirical approaches are also of independent interest. In particular, we provide the general solution for time varying asymmetric GARCH specifications, which is a long standing research topic. This enables us to characterize these models by deriving, first, their multistep ahead predictors, second, the first two time varying unconditional moments, and third, their covariance structure.

Keywords: Financial crisis; Time varying GARCH models; Structural breaks; Volatility spillovers

原文链接：http://www.sciencedirect.com/science/article/pii/S0927539814000760

翻译：殷曼琳