| 半参数方法对上证指数波动率的预测分析 |
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| 引用本文： | 王世姣,杨永愉.半参数方法对上证指数波动率的预测分析[J].北京化工大学学报(自然科学版),2011,38(3):134-138. |
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| 作者姓名： | 王世姣 杨永愉 |
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| 作者单位： | 北京化工大学理学院,北京,100029;北京化工大学理学院,北京,100029 |
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| 摘 要： | 根据金融时间序列一般都存在条件异方差性，本文研究了两种半参数时间序列模型的估计方法，通过实际算例对参数模型与半参数模型，以及不同的半参数模型在金融时间序列的拟合与波动率预测方面的表现作了比较。结果表明，半参数模型要优于参数模型，半参数可加模型要优于多项式样条估计模型。
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| 关 键 词： | 波动率 GARCH模型 样条函数 半参数可加模型 预测 |
| 收稿时间： | 2010-07-12 |
Forecasting and analysis of the volatility of the Shanghai Composite Index by semi-parametric methods |
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| WANG ShiJiao YANG YongYu.Forecasting and analysis of the volatility of the Shanghai Composite Index by semi-parametric methods[J].Journal of Beijing University of Chemical Technology,2011,38(3):134-138. |
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| Authors: | WANG ShiJiao YANG YongYu |
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| Institution: | School of Science, Beijing University of Chemical Technology, Beijing 100029, China |
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| Abstract: | The errors in a financial index over time always exhibit heteroscedastic properties.In this paper,we discuss the volatility of the Shanghai Stock Exchange(SSE) Composite Index using parametric and semi-parametric methods,and compare the sample fitting and forecasting ability of the methods on the basis of four measurement indices for forecasting error with samples of the SSE Composite Index.The results showed that the semi-parametric model is superior to the parametric model,and that a semi-parametric addit... |
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| Keywords: | volatility GARCH model spline function semi-parametric additive model forecast |
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