BCH 12

Introductory Econometrics for Finance
12

Simulation Methods
Introductory Econometrics for Finance Chris Brooks 2008
T , y0 seed ( y), a
c .

.

U(0,1)
( , t ..).
4

(uniform) 0 1 :
yi+1 = (a yi + c) modulo m
Ri+1 = yi+1 / m for i = 0, 1,...,T

. :
1. SEM
.
2. Dickey-Fuller.
3.
.
:
1. options,
.
2.
.
3. -
.

Sx:
var(x)
Sx
N
var(x) N .
,
.

-
(antithetic variates) .
2
5

Antithetic Variates
:
1.

(data generating process-DGP), .
2.

.
3.
.
4.
1 N .
N -.

.
,
.
,
.

.
, ut, - ut.

:
x ( x1 x 2 ) / 2
x1 x2 1 2.
3
Copyright 2002 by Chris Brooks
6
.
Dickey-Fuller
()
Dickey Fuller :
yt = yt-1 + ut
H0: = 1 H1: 1. :
1
SE()
:
1
var( x ) var( x1 ) var( x 2 ) 2 cov(x1 , x 2 ) .
4
:
1
var(x ) var(x1 ) var(x 2 ) .
4
,

.
,
.
7
10

Dickey-Fuller ()
:
DGP& y
T
ut N(0,1).
, y t 0.
y :
y1 = y0 + u1
y2 = y1 + u2
y3 = y2 + u3
yT = yT-1 + uT

,
.
y, ,
x.
x y,
.
8
11

Dickey-Fuller ()
()
x :
.
1 2 N .
.
-
-. 5% , 5-
.
x* y ( x y )
,
- x.
,
Corr ( x, y )
1 Var ( y )
2 Var ( x )
9
12
.
Option
Bootstrapping ()
- call option, option. :

DGP .
(random walk with drift).
(volatility parameter).
strike K, (time to maturity)
T.
T .
, ut N(0,1).
T.
bootstrapping:
.

bootstrapping
.

.
*.
.
*.
13
16
Option
()
Bootstrapping
T. call
option
PT < K, option .
PT > K, option ,
PT - K,
.
N ,
option N . option.
y = X + u .
T bootstrapped .
1. (Resample of data)
i.
:
1. T
.
2. * .
3. 1 T.
N .
, .
14
17
Bootstrapping ()
Bootstrapping
bootstrap .

.
Bootstrapping ,
.
Bootstrapping
.
Bootstrapping ,
, .
y = y1, y2, ..., yT
.
T
bootstrap .
N T
y
.
,
bootstrap ?
2.
:
1.
y u .
2. T
u * :
y* y u *
3.
4.
X
*.
2 N .
15
18

(Hsieh, 1993) ()
Bootstrap ?
( ut / t EGARCH)
. .
,
.
t2
yt bootstrapping from vt= ( ut / t ).
bootstrap .
,
.
Hsieh 180
.
19
22
.
.
Calculate Capital Risk Requirements (Hsieh, 1993)

bootstrapping ,
(value at risk-VaR).
VaR ,
.
. 95%, 10- VaR = $100m
95%
?
Hsieh (1993).
: log
22 .1985 - 9 1990 (1275 ) (BP),
(GM), (JY), (SF).

, (drawdown,loss)
:
Q= (P0 - P1 )
P0 , P1 -
(long) -
(short) .
Hsieh 2 000 2 000
.
1, 5, 10, 15, 20, 25,
30, 60, 90 180 .
90- 2000
, 90%
.
20
23

(Hsieh, 1993)
,
,
bootstraps.
Hsieh futures
,
.

No. of days
AR
BP
1
5
10
15
20
25
30
60
90
180
0.73
1.90
2.83
3.54
4.10
4.59
5.02
7.24
8.74
11.38
Long Position
Unconditional
density
0.91
2.30
3.27
3.94
4.61
5.15
5.58
7.44
8.70
10.67
DM
1
5
10
15
20
25
30
60
90
180
0.72
1.89
2.77
3.52
4.05
4.55
4.93
7.16
8.87
11.38
JY
1
5
10
15
20
25
30
60
90
180
0.56
1.61
2.59
3.30
3.95
4.42
4.95
6.99
8.43
10.97
? GARCH.
EGARCH
AR
0.93
2.61
4.19
5.72
6.96
8.25
9.08
14.50
17.91
24.25
0.80
2.18
3.38
4.45
5.24
6.20
7.11
11.64
15.45
25.81
Short Position
Unconditional
density
0.98
2.76
4.22
5.48
6.33
7.36
8.33
12.87
16.90
27.36
0.87
2.18
3.14
3.86
4.45
4.90
5.37
7.24
8.39
10.35
0.83
2.34
3.93
5.37
6.54
7.86
8.75
13.14
16.06
21.69
0.89
2.23
3.40
4.36
5.19
6.14
7.02
11.36
14.68
24.25
1.00
2.70
4.12
5.30
6.14
7.21
7.88
12.38
16.16
26.25
0.95
2.91
5.03
6.92
8.91
10.69
12.36
20.86
27.75
45.68
0.74
1.99
2.82
3.46
4.10
4.58
4.92
6.84
8.00
10.27
0.72
2.22
3.46
4.37
5.09
5.78
6.34
8.72
10.51
13.99
0.68
1.92
3.06
4.11
5.13
5.91
6.58
10.53
13.61
21.86
0.87
2.36
3.53
4.60
5.45
6.30
6.85
10.74
14.00
22.21
0.86
2.73
4.41
5.79
6.77
7.98
8.81
13.58
17.63
27.39
SF
1
0.82
0.97
0.89
0.93
1.12
5
1.99
2.51
2.48
2.23
2.93
10
2.87
3.60
4.12
3.37
4.53
15
3.67
4.35
5.60
4.22
5.67
20
4.24
5.10
6.82
5.09
6.69
25
4.81
5.65
8.12
5.90
7.77
30
5.23
6.20
9.12
6.70
8.47
60
7.69
8.41
13.73
10.55
13.10
90
9.23
9.93
16.89
13.60
17.06
180
12.18
12.57
22.92
21.72
27.45
Source: Hsieh (1993). Reprinted with the permission of the University of Washington, School of
Business Administration.
Hsieh EGARCH Autoregressive Volatility models.
21
EGARCH
1.05
3.00
4.88
6.67
8.43
10.46
12.06
20.71
28.03
48.02
0.98
2.98
5.09
7.03
8.86
10.93
12.50
21.27
27.80
45.47
24
bootstrapping (..
) -
, -
.
1 180 ,
. ,
EGARCH , 180 .
, -
.
25
bootstrapping
1.
2.
3.
4.
, ,
.
,
.
26

BCH 12

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

BCH 12

Uploaded by

Copyright:

Available Formats

Introductory Econometrics for Finance

Introductory Econometrics for Finance Chris Brooks 2008

Ri+1 = yi+1 / m for i = 0, 1,...,T

Copyright 2002 by Chris Brooks

Introductory Econometrics for Finance

Copyright 2002 by Chris Brooks

Introductory Econometrics for Finance

- call option, option. :

Copyright 2002 by Chris Brooks

Introductory Econometrics for Finance

Hsieh EGARCH Autoregressive Volatility models.

Copyright 2002 by Chris Brooks

Introductory Econometrics for Finance

Copyright 2002 by Chris Brooks

You might also like