向量随机波动模型的共因子研究

提出了向量随机波动模型波动协同持续(common persistence in vo lat ility) 的定义, 证明了波动协同持续与协整(co in tegrat ion) 两者之间的等价关系; 同时, 基于Stock2W at son 与Gonzalo2Granger 因子分解, 给出了协同持续因子(common persisten t facto r) 的两种不同的表达形式, 证明了两者间存在着协整关系. 文中讨论了在隐因子过程为VAR (1) 的假定下, 协同持续因子的表达以及协同持续因子存在的必要条件

Study on common factors of vector stochastic volatil ity model

In th is paper, f rom the idea of common t rend, w e pu t fo rw ard the def in it ion of co2persis2tence in vo lat ility of vecto r SV model, and estab lish the equ ivalen t relat ion sh ip betw een common per2sistence in vo lat ility and co in tegrat ion. M eanw h ile, w e give two rep resen tat ion s of common persisten tfacto rs under the Stock2Wo t son and Gonzalo2Granger facto r decompo sit ion s, and verify the ex istenceof co in tegrat ion betw een these two rep resen tat ion s. Mo reover, under the unob served variab les to beVAR (1) , the rep resen tat ion of co2persistence facto rs is p resen ted, and necessary condit ion s of ex ist2ing co2persistence facto rs are also studied.