Volatility and regime models
GARCH and regime-switching models describe how volatility clusters and when markets move between calm and stressed regimes, with regime probabilities reported rather than certainties.
GRA · Capital Markets Nexus
空间金融资本与危害、风险暴露和转型的交汇之处
面向资本市场的计量经济学
Econometrics turns market data into estimates with stated uncertainty: volatility regimes, liquidity premia, spillovers between markets and the price response to news and policy. In capital markets it supplies the measures behind most indicators and the tests that show when a relationship has changed.
02申请
What econometrics does here.
Econometrics applies statistical methods to economic data to estimate relationships, test theories and forecast. It provides empirical evidence on how shocks and policies affect economic outcomes. In capital markets and investment and financial stability, econometric evidence estimates how disasters, pandemics and financial shocks affect output, employment and prices. It informs the economic case for 风险削减. The canonical description is on STEM Commons.
Event studies
Abnormal returns around announcements, policy decisions or geopolitical events are estimated against a model of normal returns, with the estimation window and benchmark stated.
Liquidity measurement
Bid-ask spreads, price impact and illiquidity ratios are estimated from trade and quote data, and their agreement across measures is checked before any one is relied on.
03监测
计量经济模型。
团队遵循该方法时会使用的界面：其指标、状态与决策。名称为示例，数值仅作示意。
计量经济模型
Capital markets · Econometrics for capital markets · Run R-3425
估计值稳定GRA · Capital Markets Nexus
估计值
稳健标准误
| 买卖价差 | 0.15 | 0.11 | [−0.1, 1.0] | 否 |
| 市场深度 | −0.38 | 0.07 | [−0.3, 0.8] | 是 |
| 初始保证金 | −0.40 | 0.19 | [−0.2, 0.9] | 是 |
| 结算失败 | 0.13 | 0.14 | [−0.1, 0.9] | 否 |
方法卡
- 方法
- 计量经济学
- 样本
- 9960 obs
- 设计
- 面板，固定效应
- 标签
- 模型估算
按组别的残差
04数据
该方法使用的输入。
Datasets and records used by econometrics on this platform, with the role each plays and the label its values carry. Sources are listed in 来源登记册.
| 数据 | 角色 | 标签 |
|---|---|---|
| Trade and quote data | Liquidity and volatility estimation | 观测 |
| Index and security returns | Event studies and regime models | 观测 |
| Announcement and policy calendars | Event dating | 已发布统计 |
| Financial stress indices | Regime identification | 模型估算 |
05风险暴露、损失与资本
What econometrics for capital markets means for exposure, loss and capital.
风险官、监管者或财政部会要求的风险暴露、损失、情景和资本视图，以及它们据以报告的框架。结构遵循监管和精算实务。数值为说明性：绝非价格、评级或建议。
资本、偿付能力和财政指标
The indicators a risk officer, supervisor or ministry of finance reads first on econometrics for capital markets.
| 指标 | 单位 | 谁来阅读 | 框架 |
|---|---|---|---|
| CET1 比率 | 占风险加权资产的百分比 | 银行、监管机构 | 巴塞尔框架 |
| 流动性覆盖率 | 压力流出的 % | 银行、中央银行 | 巴塞尔框架 |
| 偿付能力充足率 | 占偿付能力资本要求的百分比 | 保险公司、监管机构 | IAIS《保险核心原则》 |
| 综合成本率 | 占已赚保费的百分比 | 保险公司 | 精算实践 |
| 保护缺口 | 未投保部分占经济损失的比例 | 保险公司、财政部 | 已公布的损失统计 |
| 公共债务 | 占 GDP 的 % | 财政部、IMF | 债务可持续性框架 |
| 总融资需求 | 每年占 GDP 的 % | 财政部、投资者 | 债务可持续性框架 |
NGFS 气候情景 · 央行与监管机构绿色金融网络IFRS S2 气候相关披露 · ISSBTCFD 建议 · 金融稳定理事会 TCFD有效管理气候相关金融风险的原则 · 巴塞尔银行监管委员会
06验证
结果如何核查。
Models are assessed through specification tests, robustness checks and out-of-sample performance. Results are compared across datasets and methods.
| 核查 | 如何开展 |
|---|---|
| Structural break tests | Stability is tested before a relationship estimated in one period is applied to another |
| Robustness to specification | Results are compared across estimation windows, benchmarks and model forms |
| Out-of-sample evaluation | Volatility and liquidity models are scored on periods not used in estimation |
Endogeneity, measurement error and structural change can bias estimates. Relationships may shift under extreme conditions.
07流程
流程如何运行。
Process explorer · Process
Econometrics for capital markets: PRISMA 2020 review reporting
10 steps·4 个阶段
流程
Econometrics for capital markets: PRISMA 2020 review reporting
PRISMA 2020 是系统综述的报告指南；各步骤依循其核查清单，而非强制顺序，且没有任何 Nexus 文件采纳它。
01 Plan
- 01注册与协议记录 · 审查团队该指南要求说明注册信息、方案的获取方式以及任何修订。
- 02资格标准记录 · 审查团队该指南要求说明纳入与排除标准以及研究的分组方式。
02 查找与遴选
- 03检索：来源与策略步骤 · 审查团队该指南要求说明信息来源与完整的检索策略。它并不规定使用哪些来源。
- 04研究的遴选步骤 · 审查团队该指南要求说明如何判定研究符合纳入条件，包括有多少名审查人进行筛选。它并不规定审查人数量。
- 05流程图记录流程图显示检索到的记录数量、纳入的研究数量以及排除的理由。
03 分析
- 06数据收集步骤 · 审查团队该指南要求说明如何从报告中收集数据以及寻求了哪些数据项。
- 07偏倚风险步骤 · 审查团队该指南要求说明评估偏倚风险所使用的方法与工具。
- 08综合模型 · 审查团队该指南要求说明效应量指标与综合方法。它并不规定必须进行荟萃分析。
- 09证据的确定性步骤 · 审查团队该指南要求说明评估确定性所用的方法，并按结局报告结果。它并未指定分级量表。
04 报告
- 10审查报告记录该指南帮助作者报告开展综述的原因、所做的工作以及所得的发现。
报告Outline of an externally published reporting guideline, not a Nexus process and not a record of operation. PRISMA 2020 mainly covers reviews of intervention effects. No Nexus page names it. Every programme is at service level R0.
09管理责任
由谁维护该方法。
经济发展 stewards econometrics for the Consortium and reviews how it is applied across platforms.
10已关联
本页在整个联合体中通向何处。
11问题
问题与解答。
What are the limits of econometrics in this field?
Endogeneity, measurement error and structural change can bias estimates. Relationships may shift under extreme conditions.
结果如何核查？
Models are assessed through specification tests, robustness checks and out-of-sample performance. Results are compared across datasets and methods.
本页面上的数值是真实的吗？
The data names, roles and checks are real descriptions of practice. The canvas shows a design of the method’s use, not a run; no result is reported here.
该方法还应用于何处？
维持社会运转的各个 规范方法页面 列出应用该方法的每个平台。
报告贡献
从本页贡献证据。
Reports is the Consortium’s quarterly publication. What you know about this subject can become evidence, a case or a correction in the next edition, credited to you and published under CC BY 4.0 where it is your own work.
全球风险联盟（Global Risks Alliance）Capital Markets Nexus全球部门风险与韧性情景与压力测试
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- 报告全球风险联盟（Global Risks Alliance）查看所有贡献方式贡献类型、各自的评审方式、您获得的署名、许可协议，以及绝不接受的内容。
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法律
法律文件。
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