论文标题
Crix家族的第一个计量经济学分析
A first econometric analysis of the CRIX family
论文作者
论文摘要
为了定价有意义的主张，人们需要首先了解这些指数的动态。在这里，我们在时间序列框架内对CRIX家族进行了第一个计量经济学分析。我们分析的关键步骤包括模型选择，估计和测试。线性依赖性是通过ARIMA模型去除的，诊断检查导致2014年8月1日至2016年4月6日的可用样本周期的ARIMA（2,0,2）模型。模型残差显示出众所周知的波动性聚类现象。因此，进一步的完善使我们进入了Arima（2,0,2）-t-garch（1,1）过程。该规范方便地照顾了金融市场典型的脂肪尾属性。在CRIX索引家族上实现了多元GARCH模型，以探索相互作用。
In order to price contingent claims one needs to first understand the dynamics of these indices. Here we provide a first econometric analysis of the CRIX family within a time-series framework. The key steps of our analysis include model selection, estimation and testing. Linear dependence is removed by an ARIMA model, the diagnostic checking resulted in an ARIMA(2,0,2) model for the available sample period from Aug 1st, 2014 to April 6th, 2016. The model residuals showed the well known phenomenon of volatility clustering. Therefore a further refinement lead us to an ARIMA(2,0,2)-t-GARCH(1,1) process. This specification conveniently takes care of fat-tail properties that are typical for financial markets. The multivariate GARCH models are implemented on the CRIX index family to explore the interaction.
