| 随机波动性模型的比较分析 |
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| 引用本文： | 王春峰,蒋祥林,吴晓霖. 随机波动性模型的比较分析[J]. 系统工程学报, 2005, 20(2): 216-219 |
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| 作者姓名： | 王春峰 蒋祥林 吴晓霖 |
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| 作者单位： | 1. 天津大学金融工程研究中心,天津,300072
2. 天津大学金融工程研究中心,天津,300072;复旦大学金融研究院,上海,200433 |
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| 基金项目： | 国家杰出青年科学基金资助项目(70225002)，教育部优秀青年教师教学科研奖励基金. |
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| 摘 要： | 对均值条件分布为正态分布的随机波动性模型与条件厚尾分布的随机波动性模型进行了比较分析．实证结果表明，厚尾分布的随机波动性模型较正态分布的随机波动性模型能更好地描述我国股市的回报与波动性的特征．
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| 关 键 词： | 随机波动性 厚尾分布 贝叶斯分析 |
| 文章编号： | 1000-5781(2005)02-0216-04 |
Comparison analysis of stochastic volatility model |
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| WANG Chun-feng,JIANG Xiang-lin,WU Xiao-lin. Comparison analysis of stochastic volatility model[J]. Journal of Systems Engineering, 2005, 20(2): 216-219 |
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| Authors: | WANG Chun-feng JIANG Xiang-lin WU Xiao-lin |
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| Affiliation: | WANG Chun-feng~1,JIANG Xiang-lin~ |
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| Abstract: | The stochastic volatility(SV) model based on the mean conditional normal distribution is compared with that based on the conditional heavy_tailed distribution. The results of empirical study indicate that the SV models based on the heavy_tailed distribution account more adequately for the features of the return series and volatility of Chinese stock market than that based on the normal distribution. |
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| Keywords: | stochastic volatility heavy_tailed distribution Bayesian analysis |
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