基于Markov機制轉(zhuǎn)換模型的黃金價格波動特征研究.pdf

1、南京理工大學(xué)碩士學(xué)位論文基于Markov機制轉(zhuǎn)換模型的黃金價格波動特征研究姓名：賴敏申請學(xué)位級別：碩士專業(yè)：金融學(xué)指導(dǎo)教師：包文彬20100601Abstract碩上論文AbstractManyeconomicvariablesusuallyexperiencesuddenchangesinsometimeHistrionicchangeswouldshowintheirtimeseriesprocessTheremarkablecha

2、ngeinatimeseriesissometimesregardedasaswitchintheregressionequationfromoneregimetoanotherAsforthecomplicatedtimeseries，wecancreatemodelsinsections，ifthespecifictimewhentheregimeswitchesCanbeobtainedInmanycases，howeverwhe

3、ntheswitchhappensandwhenthemodelparameterschangeisunknownMarkovregimeswitchingmodeltakestheregimeswitchasarandomendogenousvariable，whichenabletodepicttheremarkablechangetimeseriesinonemodelGoldpricehasexperiencedgreatcha

4、ngesinthepastdecadesofyearsInthispaperwetakeMarkovswitchingmodeltoanalyzethevolatilityofgoldpriceWechooseLondonfixgoldmonthlyretumtimeseriesfromJanuary1980toDecember2009First，wemakeanonlineartestandaregimeswitchtestThenw

5、ecreateathreestatesandtwo—steplagMarkovregimeswitchingmodelAccordingtotheresultofestimationandtheanalysisofsmoothprobabilities，wefindthatgoldpricefluctuationexhibitsthreedifferentkindsofmovingsituation：risingmildlydroppi

6、ngsharplyandrisingsharplyTheaverageholdingperiodofeachsituationis43months22monthsand34monthsSituationsswitchtoeachotherincertainprobabilityAtlast，wehavecomparedtheestimationresultsoftheMarkov—switchingmodelandAR(2)modelW