| MCMC方法在估计二元随机波动率模型中的应用 |
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| 引用本文： | 马芙玲,梁满发,易科.MCMC方法在估计二元随机波动率模型中的应用[J].合肥学院学报(自然科学版),2010,20(1):27-29. |
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| 作者姓名： | 马芙玲 梁满发 易科 |
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| 作者单位： | 1. 中山火炬职业技术学院,信息工程系,广东,中山,528436
2. 华南理工大学,理学院,广州,510640 |
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| 摘 要： | 金融数据的波动性一直是经济学研究的热点问题之一,随机波动率模型(SV)在波动率建模中有着重要的应用.马尔科夫链蒙特卡罗(MCMC)方法是估计参数的一种有效方法,给出估计一类二元SV模型参数的MCMC算法,并通过WinBUGS软件编程实现了该算法.文章最后给出了模型和程序的一个实际应用.
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| 关 键 词： | 多元随机波动率模型 MCMC方法 后验分布 Gibbs抽样 |
The Application of MCMC Method in the Estimation of the Binary Stochastic Volatility Model |
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| MA Fu-ling,LIANG Man-fa,YI Ke.The Application of MCMC Method in the Estimation of the Binary Stochastic Volatility Model[J].Journal of Hefei University :Natural Sciences,2010,20(1):27-29. |
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| Authors: | MA Fu-ling LIANG Man-fa YI Ke |
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| Institution: | 1 Department of Information Engineering, Zhongshan Torch Polytechnic, Zhongshan, Guangdong 528436; 2. School of Science, South China University of Technology, Guangzhou 510640, China) |
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| Abstract: | The volatility of financial data is one of the hot spots in the economics study. Stochastic Volatility （SV） model has important applications in the modeling of volatility. The Markov Chain Monte Carlo （MCMC） method is an important method in the estimation of parameters. In this paper, a MCMC algorithm for estimates a class of binary SV model parameters was given out, and the algorithm was realized by programming through the software of WinBUGS. Finally, the article gives the models and procedures of a practical application. |
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| Keywords: | multivariate stochastic volatility model Markov Chain Monte Carlo method posterior distribution Gibbs sample |
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