| 带有结构变点的长记忆模型的实证研究 |
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| 引用本文： | 徐海燕,惠军,胡宏伟.带有结构变点的长记忆模型的实证研究[J].安庆师范学院学报(自然科学版),2011,17(1):35-37,84. |
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| 作者姓名： | 徐海燕 惠军 胡宏伟 |
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| 作者单位： | 合肥工业大学,数学学院,安徽,合肥,230009;合肥工业大学,数学学院,安徽,合肥,230009;合肥工业大学,数学学院,安徽,合肥,230009 |
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| 摘 要： | 运用改进的Tapered对数周期图方法对带有结构变点的长记忆模型的参数和变点进行估计,对上证指数的波动性进行长记忆检验及变点讨论,研究结果表明,上证指数的波动率序列同时具有显著的长记忆特性以及结构变点。
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| 关 键 词： | 长记忆 结构变点 Tapered对数周期图 |
Empirical Research on the Long Memory Model with Structural Changes |
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| XU Hai-yan,HUI Jun,HU Hong-wei.Empirical Research on the Long Memory Model with Structural Changes[J].Journal of Anqing Teachers College(Natural Science Edition),2011,17(1):35-37,84. |
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| Authors: | XU Hai-yan HUI Jun HU Hong-wei |
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| Institution: | XU Hai-yan,HUI Jun,HU Hong-wei(School of Mathematics,Hefei University of Technology,Hefei 230009,China) |
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| Abstract: | In this paper,the modified tapered log-periodogram method is proposed for estimating the long memory parameter and the change point.We apply it to test the long memory and discuss the change point of the volatility of the Shanghai stock market index The results show that the series of the volatility of Shanghai stock market index have significant long memory features and structural change points simultaneously. |
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| Keywords: | long memory change point Tapered log-periodogram |
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