| 随机波动模型的参数估计方法 |
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| 引用本文： | 卢素,刘金山. 随机波动模型的参数估计方法[J]. 佛山科学技术学院学报(自然科学版), 2011, 29(1): 43-46 |
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| 作者姓名： | 卢素 刘金山 |
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| 作者单位： | 华南农业大学,数学系,广东,广州,510642 |
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| 摘 要： | 随机波动(SV)模型是研究金融收益率波动性的一种重要模型,但该模型没有精确的似然函数表达式,对其进行研究具有一定的挑战性.将近十几年来国内外学者提出的不同参数估计方法分为2类,讨论了各种方法的优缺点,并对其给予了评价.
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| 关 键 词： | SV模型 金融收益率 随机波动 估计方法 |
Estimation method of parameter for stochastic volatility(SV)model |
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| LU Su,LIU Jin-shan. Estimation method of parameter for stochastic volatility(SV)model[J]. Journal of Foshan University(Natural Science Edition), 2011, 29(1): 43-46 |
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| Authors: | LU Su LIU Jin-shan |
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| Affiliation: | LU Su,LIU Jin-shan (Department of Mathematics,South China Agricultural University,Guangzhou 510642,China) |
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| Abstract: | Stochastic volatility(SV) is one of the very important models for researching the volatility of financial returns,but its main problem is that the likelihood function is hard to evaluate.It is considered to be a challenge to make researches in this problem.Estimation method of parameter in recent decade can be put into two kinds,whose advantages and disadvantages are discussed in this paper. |
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| Keywords: | SV model the volatility of financial returns stochastic volatility estimation method |
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