| 金融数据变结构波动性模型的综述及研究进展 |
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| 引用本文： | 郭 悦,王娜,蒋宏兰.金融数据变结构波动性模型的综述及研究进展[J].重庆工商大学学报(自然科学版),2011,28(6):594-597613. |
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| 作者姓名： | 郭 悦 王娜 蒋宏兰 |
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| 作者单位： | 1. 重庆大学数学与统计学院,重庆,400044
2. 成都理工大学管理科学学院,成都,610059 |
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| 摘 要： | 分别从马尔可夫转换模型、马尔可夫混合模型及马尔可夫与ARCH类模型的联合，对变结构金融数据波动性模型进行了综述；这种变结构的波动模型克服了传统波动性模型（ARCH类）波动持续性被高估及无法实现体制（状态）间的转换的不足。
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| 关 键 词： | 马尔可夫转换模型 混合密度 马尔可夫GARCH模型 |
Review of Regime-Switching Volatility Model of Financial Data and Its Research Progress |
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| GUO Yue,WANG N,JIANG Hong-lan.Review of Regime-Switching Volatility Model of Financial Data and Its Research Progress[J].Journal of Chongqing Technology and Business University:Natural Science Edition,2011,28(6):594-597613. |
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| Authors: | GUO Yue WANG N JIANG Hong-lan |
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| Abstract: | The regime-switching volatility models of financial data are reviewed from the combination of Markov-Switching Model, Markov Mixture Model and Markov-Switehing ARCH Model, and this regime-switching volatility model overcomes the shortcomings of those conventional models including ARCH family, in which volatility persistence is overestimated and regime switching can not be realized. |
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| Keywords: | Markov-Switching Model mixture density Markov-GARCH Model |
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