基于马尔科夫切换模型的上证指数周收益率时间序列分析

本文先对上证指数收益率时间序列做非线性检测,再对时间序列进行结构性变化检测,发现上证指数收益序列既是非线性时间序列又有结构性变化;通过构建一个3状态,3阶滞后的异方差马尔可夫切换模型对1990年12月21日至2008年8月22日上证指数周收益率时间序列规律进行了实证分析,采用极大似然估计法对模型参数进行估计,识别出股市波动的三种主要的状态:慢涨、慢跌和快涨;实证结果表明马尔可夫切换模型能够比较有效的刻画股市波动的阶段性特征.

Analyze the SSE(Shanghai Stock Exchange) Composite Index Week Returns Ratio with Time Series Analysis Method Based on Markov Switching Model

This paper first does non-linear time series test on the SSE Composite Index returns ratio, then carries on the constitutive change examination to the time series, andfinds that the SSE Composite index is the sequence proceeds of non-linear time series as well as structural changes.After Constructing a three conditions, third-order lag's different variance Markov switching model, we do empirical analysis to SSE Composite Index week returns ratio from December 21st, 1990 to August 22nd, 2008, using the maximum likelihood estimation method to estimate the model parameter, and identifying the three main conditions of stock market fluctuations:slo wup, slow down and speed up.Empirical results indicate that the Markov switching model can portray stock market's gradual fluctuation characteristics effectively.