摘要
对具有杠杆效应的 SV模型进行了的贝叶斯分析 ,使用基于 Gibbs取样的 BUGS软件对模型的参数进行了估计。用上海和深圳股市的指数收益时间序列对杠杆效应 SV模型进行检验 ,指出沪。
Stochastic volatility (SV) models are widely used as the tools of financial volatility analyzing in the field of econometrics. A Bayesian analysis of the stochastic volatility model with leverage effect is discussed in this paper. The parameters of the model are estimated via software package BUGS (Bayesian inference using Gibbs Sampling). The results based on stock returns of Shanghai and Shenzhen show that the remarkable leverage effects exist in these two stock markets.
出处
《系统工程》
CSCD
北大核心
2004年第3期47-51,共5页
Systems Engineering
基金
国家自然科学基金资助项目 (70 1 71 0 0 1 )
