| 存货质押融资质押物价格变化MRS-GRACH模型研究 |
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| 引用本文： | 王贝贝,李金林,邹庆忠,冉伦.存货质押融资质押物价格变化MRS-GRACH模型研究[J].数学的实践与认识,2012,42(21):20-25. |
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| 作者姓名： | 王贝贝 李金林 邹庆忠 冉伦 |
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| 作者单位： | 北京理工大学管理与经济学院,北京,100081 |
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| 基金项目： | 高等学校博士学科点专项科研基金，国家自然科学基金，新世纪优秀人才支持计划项目 |
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| 摘 要： | 针对质押物价格收益序列存在的结构转换特征,对常系数ARCH模型进行改进,引入一个变化服从马尔科夫过程的状态随机变量反映价格收益不同的波动状况,从而构建了质押物价格收益MRS-GARCH模型.实例研究表明MRS-GARCH模型能够刻画现实中质押物价格收益波动结构动态变化过程,同时能够识别外界不可见因素对收益波动的影响力度,MRS-GARCH模型较GARCH模型在拟合及预测价格收益波动方面具有更准确的效果.
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| 关 键 词： | 存货质押融资 价格风险 MRS-GRACH模型 |
Research on Inventory Financing Price Change MRS-GARCH Model |
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| WANG Bei-bei
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LI Jin-lin
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ZOU Qing-zhong
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RAN Lun.Research on Inventory Financing Price Change MRS-GARCH Model[J].Mathematics in Practice and Theory,2012,42(21):20-25. |
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| Authors: | WANG Bei-bei LI Jin-lin ZOU Qing-zhong RAN Lun |
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| Affiliation: | (School of Management and Economics,Beijing Institute of Technology,Beijing 100081,China) |
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| Abstract: | Aiming at the feature of structure transformation in the pledge price yield sequence,improve the constant coefficient ARCH model via introducing a state random variable,whose change submits to Markov process,to reflect the different fluctuations.Then establish MRS-GARCH model for the pledge price yield.The experiment shows that MRSGARCH model can describe the pledge price yield dynamic structure transformation in reality,and reflect the influence of invisible elements on the yield volatility.MRS-GARCH model is more effective than GARCH model in fitting and forecasting price yield volatility. |
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| Keywords: | Inventory Financing Price Risk MRS-GARCH Model |
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