股市波动长记忆性聚合效应的半参数检验

本文基于半参数估计方法,从两个方面研究了股市波动长记忆性的聚合问题:一方面,首先将股指收益序列转换为波动序列,再考虑波动序列聚合后的长记忆性;另一方面,首先对股指收益序列进行聚合,再考虑聚合序列波动的长记忆性。前者考察的是波动序列中长记忆参数的聚合性,后者考察的是数据频率对波动长记忆参数的影响。从我国股市实际出发,并综合两个方面考虑,实证了股市波动长记忆性聚合不变效应的存在,同时也说明了半参数方法的良好效果。

The Semiparametric Test for Aggregated Effect of Long Memory Property in Stock Markets Volatility

Based on semiparametric methods,the aggregation effect of long memory property in stock markets volatility has been researched from two aspects: On one hand,stock returns are aggregated firstly,then the long memory property of aggregated series is considered;on the other hand,stock returns are convened to volatility series firstly,then the long memory property of aggregated volatility series is considered.The former considers the aggregated property of long memory parameter in volatility series,whilte the l...