[1]高延巡,胡日东,苏梽芳.中国股市跳跃行为的随机波动模型分析[J].华侨大学学报(自然科学版),2010,31(5):580-585.[doi:10.11830/ISSN.1000-5013.2010.05.0580]
　GAO Yan-xun,HU Ri-dong,SU Zhi-fang.Analysis of the Stochastic Volatility Models about the Jump Behavior in Chinese Stock Market[J].Journal of Huaqiao University(Natural Science),2010,31(5):580-585.[doi:10.11830/ISSN.1000-5013.2010.05.0580]
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中国股市跳跃行为的随机波动模型分析()
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《华侨大学学报（自然科学版）》[ISSN:1000-5013/CN:35-1079/N]

卷:
第31卷
期数:
2010年第5期
页码:
580-585
栏目:
出版日期:
2010-09-20

文章信息/Info

Title:
Analysis of the Stochastic Volatility Models about the Jump Behavior in Chinese Stock Market
文章编号:
1000-5013(2010)05-0580-06
作者:
高延巡; 胡日东; 苏梽芳
华侨大学经济与金融学院
Author(s):
GAO Yan-xun;  HU Ri-dong;  SU Zhi-fang
College of Economics and Finance, Huaqiao University, Quanzhou 362021, China
关键词:
跳跃;  杠杆效应;  随机波动模型;  马尔科夫蒙特卡洛方法;  上证综指
Keywords:
jump;  leverage effect;  stochastic volatility model;  Markov Chain Monte Carlo methods;  Shanghai composite index
分类号:
F224; F832.51
DOI:
10.11830/ISSN.1000-5013.2010.05.0580
文献标志码:
A
摘要:
基于上证综指样本数据,探讨双跳跃随机波动模型并研究股市波动跳跃行为.应用马尔科夫蒙特卡洛方法对模型参数进行估计,通过残差正态检验比较各类随机波动模型刻画股市波动能力,采用损失函数评价法和线性回归法,评估其对上证综指波动的预测精度.结果显示,中国股市跳跃波动程度和强度较大,对股市收益和波动均有显著影响; 在引入跳跃成分刻画股市异常波动行为后,双跳跃模型显著提高股市收益波动率的估计精度与预测能力.
Abstract:
On the basis of Shanghai composite index,the double-jump stochastic volatility model and the jump behavior of stock market have been discussed in this paper.Estimating the models through Markov Chain Monte Carlo methods,comparing the stock market volatility in the stochastic models by the normal residual test and evaluating prediction precision of the Shanghai composite index volatility by using the loss function method and the linear regression method,we get a result which shows that the waving range and jumping intensity in Chinese stock market are larger,which greatly affects on income and wave of the stock market; that the double-jump stochastic volatility model obviously improves the estimation precision and the prediction ability after introducing the jump into describing the abnormal volatility.

参考文献/References:

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备注/Memo

备注/Memo:
国家社会科学基金资助项目(08BJL019); 华侨大学科研基金资助项目(09BS502)
更新日期/Last Update: 2014-03-23