| 波动率的持续性：基于GARCH模型的成交量解释 |
| |
| 引用本文： | 周林,施红俊,陈伟忠. 波动率的持续性：基于GARCH模型的成交量解释[J]. 统计与信息论坛, 2005, 20(2): 55-59,62 |
| |
| 作者姓名： | 周林 施红俊 陈伟忠 |
| |
| 作者单位： | 同济大学,经济与管理学院,上海,200092 |
| |
| 摘 要： | 文章将成交量变量合理地分解为由好、坏消息分别引致的两部分,结合GARCH模型,研究了成交量对波动率持续性的解释,并得出如下结论:成交量变量对波动率的持续性具有一定的解释力;信息对波动率的影响具有不对称性,坏消息比好消息的影响大;将成交量分解成由好、坏消息分别引致的两部分之后,能够更进一步地解释波动率的持续性。
|
| 关 键 词： | 波动率 持续性 GARCH模型 成交量 |
| 文章编号： | 1007-3116(2005)02-0055-05 |
| 修稿时间： | 2004-06-15 |
Volatility''''s persistence:explanation by trading volume based on GARCH model |
| |
| ZHOU Lin,SHI Hong-jun,CHEN Wei-zhong. Volatility''''s persistence:explanation by trading volume based on GARCH model[J]. Statistics & Information Tribune, 2005, 20(2): 55-59,62 |
| |
| Authors: | ZHOU Lin SHI Hong-jun CHEN Wei-zhong |
| |
| Abstract: | The trading volume is properly decomposed into two parts which are caused by good news and bad news in turn. This thesis studies the volatility's persistence through trading volume based on GARCH model. The results are: trading volume can partly explain volatility's persistence; the impact on volatility by information is unsymmetrical. The bad news' is more than the good news'. The trading volume can well explain volatility's persistence after they are decomposed into two parts caused by good news and bad news in turn. |
| |
| Keywords: | Volatility persistence GARCH Trading volume. |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
