| 随机波动模型参数估计的新算法及其在上海股市的实证 |
| |
| 引用本文： | 刘凤芹,吴喜之. 随机波动模型参数估计的新算法及其在上海股市的实证[J]. 系统工程理论与实践, 2006, 26(4): 27-31. DOI: 10.12011/1000-6788(2006)4-27 |
| |
| 作者姓名： | 刘凤芹 吴喜之 |
| |
| 作者单位： | 1. 北京师范大学社会发展与公共政策研究所,北京,100875
2. 中国人民大学统计学院,北京,100872 |
| |
| 摘 要： | 研究用马尔科夫链蒙特卡罗(MCMC)算法估计随机波动模型的参数问题.基于“前向滤波,后向抽样”方法提出一种新算法,并将新算法同原有算法进行了比较.然后利用新算法对上海股市进行波动性分析,发现中国涨跌停板制度对波动的持续性估计有着重要的影响,忽视这些因素将会导致波动的持续性被高估.
|
| 关 键 词： | 随机波动模型 马尔科夫链蒙特卡罗(MCMC) 波动 |
| 文章编号： | 1000-6788(2006)04-0027-05 |
| 修稿时间： | 2004-04-05 |
A New Algorithm for Estimating Stochastic Volatility Model and the Application in Shanghai Stock Market |
| |
| LIU Feng-qin,WU Xi-zhi. A New Algorithm for Estimating Stochastic Volatility Model and the Application in Shanghai Stock Market[J]. Systems Engineering —Theory & Practice, 2006, 26(4): 27-31. DOI: 10.12011/1000-6788(2006)4-27 |
| |
| Authors: | LIU Feng-qin WU Xi-zhi |
| |
| Abstract: | In this paper,A new markov chain monte carlo algorithm for estimating stochastic volatility model is given.And the new algorithm is compared with old algorithms.Then authors apply stochastic volatility model to analyze the volatility of Shanghai stock market by the new algorithm.Empirical results indicate that stochastic volatility model performs well.On the other hand empirical results also indicate that price limit have much effect on the persistence of volatility. |
| |
| Keywords: | stochastic volatility model Markov chain Monte Carlo volatility |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《系统工程理论与实践》浏览原始摘要信息 |
|
点击此处可从《系统工程理论与实践》下载全文 |
