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本文提出了T分布的带杠杆效应的随机波动模型,该模型同时兼顾了股票市场的杠杆效应和厚尾效应,并对模型进行了统计结构分析,证明了模型的有效性,基于贝叶斯分析,给出了对ASV-T模型的MCMC估计方法,其中对参数采取Gibbs抽样。利用该模型,通过对中国创业板指数的实证研究,证明了ASV-T模型对创业板市场的回报和波动性特征有更好的拟合效果,并且模型能够较好地描述金融数据的杠杆效应和厚尾效应。
This paper presents a T-distribution stochastic volatility model with leverage effect, which takes into account both the leverage effect and the thick tail effect in the stock market. The model is statistically analyzed and the model is proved to be effective. Based on the Bayesian analysis , Gives an estimate of the MCMC for the ASV-T model, using Gibbs sampling of the parameters. By using this model, this paper proves that the ASV-T model has a better fitting effect on the return and volatility of the GEM and that the model can better describe the leverage effect of financial data And thick tail effect.