摘要
协同持续是协整概念在时间序列二阶矩意义上的体现,主要讨论条件方差过程之间的长期均衡关系。基于脉冲响应分析给出分数维波动持续和协同持续的定义,并研究了一类范围更广的模型族——FIGARCH过程的持续性问题。最后,运用双变量FIGARCH模型对我国两大证券市场的波动持续性进行检验,实证表明其波动行为存在分数维协同持续现象,这为动态金融风险规避策略的构建提供了理论依据。
Common persistence, which discusses long-run equilibrium relationship in conditional variance process, can be viewed as cointegration embodied in two order moments. Based on impulse response analysis, the paper gives definition of volatility persistence and common persistence in fractional dimension, and investigates the persistence of FIGARCH process. Finally, bivariate FIGARCH model is used to test persistence in Chinese stock markets. The results show that there exists fractional common persistence, which provide theoretical basis for avoiding dynamic financial risk.
出处
《系统工程》
CSCD
北大核心
2005年第7期1-6,共6页
Systems Engineering
基金
国家自然科学基金资助项目(70471050)
关键词
波动持续
协同持续FIGARCH模型
脉冲响应分析
分整
Volatility Persistence
Common Persistencet FIGARCH model
Impulse Response Analysis
Fractional Integration
