| 基于小波变换的LMSV模型波动长记忆性估计与检验 |
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| 引用本文： | 徐梅,张世英. 基于小波变换的LMSV模型波动长记忆性估计与检验[J]. 系统工程学报, 2004, 19(6): 553-558 |
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| 作者姓名： | 徐梅 张世英 |
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| 作者单位： | 天津大学管理学院,天津,300072 |
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| 基金项目： | 国家自然科学基金资助项目 (70 1710 0 1) |
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| 摘 要： | 将小波引入到LMSV模型波动长记忆性的估计与检验中，提出了基于小波变换的LMSV模型波动长记忆性的伪极大似然估计法和波动长记忆性的检验方法，用不同参数值和样本容量的数据进行了模拟实验．又用该方法对上海和深圳证券交易所综合指数收益序列的LMSV模型的波动长记忆性进行了检验和估计，结果表明该方法是有效且可行的．
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| 关 键 词： | 小波 LMSV模型 ARFIMA过程 波动长记忆性 估计 检验 |
| 文章编号： | 1000-5781(2004)06-0553-06 |
Estimation and test of long memory of volatility in LMSV model based on wavelet transformation |
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| in LMSV model based on wavelet transformation XU Mei,ZHANG Shi-ying. Estimation and test of long memory of volatility in LMSV model based on wavelet transformation[J]. Journal of Systems Engineering, 2004, 19(6): 553-558 |
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| Authors: | in LMSV model based on wavelet transformation XU Mei ZHANG Shi-ying |
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| Abstract: | Wavelet is introduced into the estimation and the test of long memory of volatility of LMSV(long memory stochastic volatility) model. The QMLE(quasi maximum likelihood estimation) of LMSV model and test of long memory of volatility based on wavelet transformation is proposed. The method suggested is proved to be effective and feasible by the simulation experiments with different parameters value and different series length, and also by the estimation and the test of long memory of volatility of LMSV model of the return series of composite index of Shanghai and Shenzhen stock markets. |
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| Keywords: | wavelets LMSV model ARFIMA process long memory of volatility estimation test |
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