| 金融ARCH模型的贝叶斯检验和模型选择 |
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| 引用本文： | 李勇,倪中新.金融ARCH模型的贝叶斯检验和模型选择[J].中国管理科学,2008,16(6):24-28. |
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| 作者姓名： | 李勇 倪中新 |
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| 作者单位： | 1. 中山大学管理学院财务与投资系, 广州 510275;
2. 上海大学国际工商与管理学院金融系, 上海 200444 |
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| 摘 要： | 在金融时间序列分析中,检验ARCH效果和决定合适的阶是ARCH模型的重要研究主题,在贝叶斯框架下,本文使用贝叶斯因子来检验ARCH效果和选择ARCH模型合适的阶。在路径抽样的基础上,提出了计算ARCH模型贝叶斯因子的方法。最后,我们用一个具体的实例来论证了所提方法的有效性。
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| 关 键 词： | ARCH模型 贝叶斯因子 金融时间序列 ARCH效果检验 模型选择 路径抽样 |
| 收稿时间： | 2008-1-23 |
| 修稿时间： | 2008-10-13 |
Bayesian Testing and Model Comparison for Financial ARCH Models |
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| LI Yong,NI Zhong-xin.Bayesian Testing and Model Comparison for Financial ARCH Models[J].Chinese Journal of Management Science,2008,16(6):24-28. |
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| Authors: | LI Yong NI Zhong-xin |
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| Institution: | 1. Business School, Sun Yat-Sen University, Guangzhou 510275, China;
2. College of International Business and Management, Shanghai University, Shanghai 200444, China |
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| Abstract: | In financial time series analysis,testing the ARCH effect and determining the appropriate order value is one of the important topics.In this paper,the Bayes factor is employed to test the ARCH effect and choose the appropriate order value for ARCH models under Bayesian framework.A procedure for computing Bayes factor based on path sampling is established for this purpose.In the end,a real example is illustrated to demonstrate our proposed method. |
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| Keywords: | ARCH models ARCH effect Bayes factor financial time series path sampling model comparison |
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