| 偏正态随机波动模型及其实证检验 |
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| 引用本文： | 黄波,顾孟迪,李湛.偏正态随机波动模型及其实证检验[J].管理科学学报,2010,13(2). |
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| 作者姓名： | 黄波 顾孟迪 李湛 |
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| 作者单位： | 1. 上海立信会计学院金融学院,上海,201620;上海交通大学管理学院,上海,200052
2. 上海交通大学管理学院,上海,200052 |
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| 基金项目： | 上海市教委高水平特色发展资助项目(JRXY0903);;上海市教委科研创新重点资助项目(09ZS203) |
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| 摘 要： | 首先构建了有杠杆效应的随机波动模型(SV-L),证明了其波动随机项的条件分布为两个偏正态分布,由此称该模型为偏正态随机波动模型(SV-SN).接下来讨论了SV-SN模型的经济含义以及对应随机波动项的统计特征.最后利用沪深两市的指数收益数据对模型进行了实证研究,其结论为:相对于一般的SV模型,SV-SN模型的拟合效果更好;新息具有减弱后期波动之效应;与理论预期一致,单位负新息比单位正新息引致的波动要大.
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| 关 键 词： | 有杠杆效应的随机波动模型 偏正态随机波动模型 股市指数 |
Stochastic volatility model with skew normal distribution and its empirical test |
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| HUANG Bo,GU Meng-di,LI Zhan.Stochastic volatility model with skew normal distribution and its empirical test[J].Journal of Management Sciences in China,2010,13(2). |
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| Authors: | HUANG Bo GU Meng-di LI Zhan |
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| Institution: | HUANG Bo1,2,GU Meng-di2,LI Zhan21.School of Finance,Shanghai Lixin University of Commerce,Shanghai,201620,China,2.College of Economics & Management,Shanghai Jiaotong University,200052 |
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| Abstract: | First of all,a stochastic volatility model with leverage effect(SV-L for abbreviation) is constructed.The conditional distributions of its volatility item are proved to be two skew normal distributions,and this model is so called stochastic volatility model with skew normal distribution(SV-SN for abbreviation).Then the economic meaning of this model and the statistical characteristics of its volatility item are discussed.Lastly,using data from Shanghai and Shenzhen stock markets,this model is tested and the... |
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| Keywords: | SV-L model SV-SN model indices of stock markets |
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