| 波动率持续性基于信息到达过程的成交量解释 |
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| 引用本文： | 施红俊,陈伟忠.波动率持续性基于信息到达过程的成交量解释[J].同济大学学报(自然科学版),2004,32(5):690-695. |
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| 作者姓名： | 施红俊 陈伟忠 |
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| 作者单位： | 同济大学,现代金融研究所,上海,200092 |
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| 基金项目： | 国家自然科学基金资助项目 (70 2 73 0 2 7) |
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| 摘 要： | 综合利用对数周期图方法、Granger因果检验、以及扩展广义自回归条件异方差模型 ,对随机抽取的 10只上证 180成份股进行了实证研究 .得出以下结论 :收益波动率和成交量有相同的长记忆特征 ;信息到达过程是波动率行为的原因之一 ,成交量和波动率展现出的相互因果关系可能是它们同受信息到达过程影响的结果 ;成交量变量能够在有限程度内解释部分波动率的持续性 .
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| 关 键 词： | 波动率 持续性 成交量 信息到达过程 |
| 文章编号： | 0253-374X(2004)05-0690-06 |
Persistence of the Volatility:Interpretation of Trading Volume Based on Information Arrival |
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| SHI Hong-jun,CHEN Wei-zhong.Persistence of the Volatility:Interpretation of Trading Volume Based on Information Arrival[J].Journal of Tongji University(Natural Science),2004,32(5):690-695. |
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| Authors: | SHI Hong-jun CHEN Wei-zhong |
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| Abstract: | This paper performs a empirical test on ten stocks which are extracted random from the Shanghai-Security 180-Index through comprehensively using the GPH method,Granger causality test,and the extended GARCH model.Three conclusions have been achieved.Firstly,the volatility,and trading volume share the common long memory characteristic; secondly,the information arrival process is one of the cause of the behavior of volatility,and the causality between trading volume and volatility is possibly the result of the common influence caused by the information arrival process; finally,the persistence of volatility may partly attributes to the trading volume in limited degree. |
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| Keywords: | volatility persistence trading volume information arrival process |
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