Study On The Price Fluctuation Of Financial Asset In China Based On Non-parametric GARCH Method

In the world financial market,the progress of technology and the perfection of financial system keep the process of financial globalization moving forward.Our country banking with the evolution of globalization also got certain opportunities and challenges,in the fierce competition in the world environment,need special attention of potential financial risks as a result of poor organization.It is of great significance to grasp the law of financial asset price fluctuation to some extent to prevent and control financial uncertainty and risk.In this paper,the first part introduced the background and significance of this paper,and then according to the related literature at home and abroad,the development process of nonparametric volatility model were summarized,so far the research results and points out its development trend in the future.Chapter two and chapter three expatiate on the parameter GARCH model of financial asset price fluctuation and the derivation and form of its application and non-parametric GARCH model.Firstly introduces the basic form of the ARCH and GARCH model parameters,gives the parameter recognition estimation and prediction method,and then introduces the principle of nonparametric kernel density estimation,nonparametric GARCH model is the basic form of density function.Finally introduces the data source of financial assets,the financial assets of Shanghai and shenzhen index yield data,data cleaning and analyzed,based on the parameters of the GARCH method to establish the model and gives the corresponding parameter estimation and model test.The fourth and fifth chapters expound the non-parametric ARCH and GARCH model on the volatility characteristics of Shanghai and shenzhen index.First,the basic form of the model is given,and the estimation method of the model is introduced.And then to Shanghai and shenzhen index yield,in its thick tail and symmetry characteristics respectively using the method of nonparametric ARCH and GARCH is studied and the comparative analysis.Combined with these characteristics and financial market or enterprise development,the reasons and significance of the characteristics are analyzed to a certain extent.Finally draw the conclusion: the parameters estimation precision and prediction results of GARCH model is superior to the GARCH model and nonparametric ARCH model.It is of great theoretical and practical significance to study the fluctuation rule and the future fluctuation prediction and risk prevention.Innovation of this paper lies in using the method of parameters with the method of combining the,in the results of non parameter model to explain more clearly and comprehensively,from the Angle of multiple distribution graphics analysis the superiority of the nonparametric model,for the future the promotion and application of nonparametric GARCH model provides a certain reference value.