摘要
综合考虑波动率的尖峰厚尾性、杠杆效应等特点,作者提出了混合高斯AR-GJRGARCH模型,并用基于Griddy-Gibbs抽样的MCMC方法对模型的参数进行了贝叶斯估计,然后以新东方的股票数据为例用Matlab和R软件对模型进行了实现与检验.结果表明:模型对波动率的各种特性都有一定的体现,并且估计方法的收敛速度较快、自相关性弱、算法复杂度低、稳定性良好.
Considering the characteristics of the volatility such as excess kurtosis and leverage effect, the authors propose a Gaussian mixture AR-GJR-GARCH model. Then, the parameters of the model are es- timated by using MCMC method based on Griddy-Gibbs sampler. Finally, the model is implemented and tested in Matlab and R software taking EDU stock market for example. The model has a certain mani- festation on the characteristics of the volatility and the method has the good convergence, the weak auto- correlation, the simple algorithm, and the nice stability.
出处
《四川大学学报（自然科学版）》
CAS
CSCD
北大核心
2016年第5期957-962,共6页
Journal of Sichuan University(Natural Science Edition)
