Research on the Influence of Whether Rebalance Model on Quantitative Trading Investment Strategy Based on BEKK-MGARCH and Multi-Factor Model
DOI:
https://doi.org/10.54691/bcpbm.v22i.1239Keywords:
BEKK-MGARCH; Multi-factor model; Double Ensemble; Structural Break; WR model.Abstract
The quantitative strategy of asset pricing risk management is one of the financial theory research hot spots. In this paper, we use the BEKK-GARCH model based on the relative economic theory to predict the daily volatility of gold and bitcoin; Secondly, we establish a multi-factor model with 16 factors to predict the return rate of the two assets; Finally, we establish WR model to determine the optimal position proportion of investors every day. In building the model, we use the data in the previous period to continuously slide and train our model to prevent future information leakage. In data processing, we choose the base point (0.01%) as the measurement unit, and the missing value is filled in by the average of the data of two days before and after it.
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